Rationality Parameter for Exercising American Put
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Cited by:
- Fazlollah Soleymani, 2019. "Efficient Semi-Discretization Techniques for Pricing European and American Basket Options," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1487-1508, April.
- Rafael Company & Vera Egorova & Lucas J'odar & Fazlollah Soleymani, 2017. "Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach," Papers 1701.08545, arXiv.org.
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Keywords
behavioral modeling; irrational exercise rule; partial differential equation; penalty method;All these keywords.
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