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American put options with a finite set of exercisable time epochs

✍ Scribed by H. Iwaki; M. Kijima; T. Yoshida

Book ID
103929422
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
614 KB
Volume
22
Category
Article
ISSN
0895-7177

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πŸ“œ SIMILAR VOLUMES

American put option with regime-switchin
American put option with regime-switching volatility (finite time horizon)β€”Variational inequality approach
✍ Fahuai Yi πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 178 KB

## Abstract We study the fair price of American put option with regime‐switching volatility. Assuming that volatility Οƒ(__t__) takes two different values Οƒ~1~ and Οƒ~2~, applying Ξ” hedging technique we obtain a system of evolutionary variational inequalities, which possesses two free boundaries (opt