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Published in 2019 at "Mathematical Methods in the Applied Sciences"
DOI: 10.1002/mma.5913
Abstract: In this paper, a free boundary fractional Black‐Scholes (FBS) model of American put option pricing is investigated. To convert the free boundary FBS model to a model with known boundary condition, the quasi‐stationary method is…
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Keywords:
put option;
nonstandard finite;
american put;
finite difference ... See more keywords
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Published in 2021 at "Review of Derivatives Research"
DOI: 10.1007/s11147-021-09180-w
Abstract: The critical price $$S^{*}\left( t\right) $$ S ∗ t of an American put option is the underlying stock price level that triggers its immediate optimal exercise. We provide a new perspective on the determination of…
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Keywords:
put;
critical price;
price;
american put ... See more keywords
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Published in 2018 at "Filomat"
DOI: 10.2298/fil1808813h
Abstract: We consider discrete time hedging error of the American put option in case of brusque fluctuations in the price of assets. Since continuous time hedging is not possible in practice so we consider discrete time…
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Keywords:
hedging error;
time;
time hedging;
put option ... See more keywords