Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function

DOI10.1007/s10690-017-9234-1zbMath1418.91508arXiv1611.00885OpenAlexW2548861215MaRDI QIDQ1627819

Daniel Ševčovič, Yaser Kord Faghan, Maria do Rosário Grossinho

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.00885

zbMATH Keywords

option pricingnonlinear Black-Scholes equationearly exercise boundaryperpetual American put option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations

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