A simple heuristic for valuing certain perpetual American-type securities

DOI10.1016/S0895-7177(98)00078-8MaRDI QIDQ699352zbMATH OpenOpenAlexFDO

Authors 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

• scientific article; zbMATH DE number 4081235 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 1237740 (Why is no real title available?)
• Some mathematical results in the pricing of American options
• The pricing of the American option

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