Volatility and dividend risk in perpetual American options

DOI10.1088/1742-5468/2007/04/P04002zbMath1459.91197arXivphysics/0610047MaRDI QIDQ5239351

Miquel Montero

Publication date: 22 October 2019

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0610047

zbMATH Keywords

stochastic processesfinancial instruments and regulationmodels of financial marketsrisk measure and management

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

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• Option pricing when underlying stock returns are discontinuous