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Listar por palabra clave "Irrational exercise"

Mostrando ítems 1-1 de 1

Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, Carlos (Elsevier, 2016-10)

[EN] In this paper finite difference methods for pricing American option with rationality parameter are proposed. The irrational exercise policy arising in American options is characterized in terms of a rationality ...

Mostrando ítems 1-1 de 1