The perpetual American put option for jump-diffusions with applications
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- Aase, Knut K., 2005. "The perpetual American put option for jump-diffusions with applications," Discussion Papers 2005/12, Norwegian School of Economics, Department of Business and Management Science.
References listed on IDEAS
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Cited by:
- Moon, Yongma & Yao, Tao & Park, Sungsoon, 2011. "Price negotiation under uncertainty," International Journal of Production Economics, Elsevier, vol. 134(2), pages 413-423, December.
- Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Double continuation regions for American and Swing options with negative discount rate in L\'evy models," Papers 1801.00266, arXiv.org.
- Aase, Knut K., 2005. "Using Option Pricing Theory to Infer About Equity Premiums," Discussion Papers 2005/11, Norwegian School of Economics, Department of Business and Management Science.
More about this item
Keywords
Optimal exercise policy; American put option; perpetual option; optimal stopping; incomplete markets; equity premiums; CCAPM;JEL classification:
- G00 - Financial Economics - - General - - - General
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