A simple heuristic for valuing certain perpetual American-type securities

DOI10.1016/S0895-7177(98)00078-8zbMATH Open1003.91507OpenAlexW1987561083MaRDI QIDQ699352FDOQ699352

John E. Angus, Xiao Hong

Publication date: 24 September 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(98)00078-8

zbMATH Keywords

martingalesperpetual optionsMarkov time

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59)

Cites Work

• Title not available (Why is that?)
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• Some mathematical results in the pricing of American options
• The pricing of the American option

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