Mellin Transform Method for the Valuation of the American Power Put Option with Non-Dividend and Dividend Yields
نویسندگان
چکیده
منابع مشابه
Convexity of the Exercise Boundary of the American Put Option on a Zero Dividend Asset
The Black–Scholes model is widely used to value options. An important advantage of the model is that European options can be valued analytically by the Black–Scholes formula (Merton 1992; Hull 1997). The situation is quite different, however, for American put options with optimal early exercise. While considerable progress has been made, no completely satisfactory analytic solution has been fou...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2015
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2015.53023