Discrete time models

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
Additional contact information
Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 13 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 267-280 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Bermudan options and discrete time modelsA perpetual American put in a discrete time modelProcess specificationThe pricing problem for a perpetual American option as an optimal stopping problemThe Wiener-Hopf factorizationGeneral formulasSome useful properties of the factors a±The case of exponential polynomialsOptimal exercise boundary and rational price of the option

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812777485_0013 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812777485_0013 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812777485_0013

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().