Rationality Parameter for Exercising American Put
Download full text from publisher
References listed on IDEAS
- Chen, Hsiao-Chi & Friedman, James W. & Thisse, Jacques-Francois, 1997.
"Boundedly Rational Nash Equilibrium: A Probabilistic Choice Approach,"
Games and Economic Behavior,
Elsevier, vol. 18(1), pages 32-54, January.
- CHEN, Hsiao-Ch. & FRIEDMAN, J.W. & THISSE, Jacques-Francois, 1996. "Boundedly Rational Nash Equilibrium: A Probabilistic Choice Approach," CORE Discussion Papers 1996044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chen, H.-C. & Friedman, J. W. & Thisse, J.-F., 1997. "Boundedly rational Nash equilibrium: a probabilistic choice approach," CORE Discussion Papers RP 1248, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dai, Min & Kwok, Yue Kuen & You, Hong, 2007. "Intensity-based framework and penalty formulation of optimal stopping problems," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3860-3880, December.
- Allen M. Poteshman & Vitaly Serbin, 2003. "Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options," Journal of Finance, American Finance Association, vol. 58(1), pages 37-70, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
Keywordsbehavioral modeling; irrational exercise rule; partial differential equation; penalty method;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:3:y:2015:i:2:p:103-111:d:49867. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (XML Conversion Team). General contact details of provider: https://www.mdpi.com/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.