The valuation of permanent American options in the presence of event risk

zbMATH Open1136.91418MaRDI QIDQ5481308FDOQ5481308

Ji-Chun Liu, Yongjuan Chen, Shunfa Lin

Publication date: 9 August 2006

zbMATH Keywords

optimal stopping timegame optionsevent riskpermanent American options

Mathematics Subject Classification ID

Cited In (2)

• Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
• Valuation of American options in the presence of event risk

   Recommendations

• Valuation of American options in the presence of event risk 👍 👎
• Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information 👍 👎
• Title not available (Why is that?) 👍 👎
• Volatility and dividend risk in perpetual American options 👍 👎
• American perpetual options with random start 👍 👎

This page was built for publication: The valuation of permanent American options in the presence of event risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5481308)