Pricing cancellable American put options on the finite time horizon
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DOI: 10.1002/fut.22331
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References listed on IDEAS
- Zaevski, Tsvetelin S., 2020. "Discounted perpetual game put options," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Gunter H Meyer, 2016. "A PDE View of Games Options," Research Paper Series 369, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Zaevski, Tsvetelin S., 2020. "Discounted perpetual game call options," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
- Christoph Kühn & Andreas E. Kyprianou, 2007. "Callable Puts As Composite Exotic Options," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 487-502, October.
- Atsuo Suzuki & Katsushige Sawaki, 2007. "The Pricing Of Perpetual Game Put Options And Optimal Boundaries," World Scientific Book Chapters, in: Tadashi Dohi & Shunji Osaki & Katsushige Sawaki (ed.), Recent Advances In Stochastic Operations Research, chapter 12, pages 175-187, World Scientific Publishing Co. Pte. Ltd..
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Cited by:
- Qi Zhang & Qi Wang & Ping Zuo & Hongbo Du & Fangfang Wu, 2023. "Projection and Contraction Method for Pricing American Bond Options," Mathematics, MDPI, vol. 11(22), pages 1-13, November.
- Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo, 2024. "Pricing first-touch digitals with a multi-step double boundary and American barrier options," Finance Research Letters, Elsevier, vol. 59(C).
- Yan, Dong & Lin, Sha & Hu, Zhihao & Yang, Ben-Zhang, 2022. "Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).
- Tsvetelin S. Zaevski, 2024. "Quadratic American Strangle Options in Light of Two-Sided Optimal Stopping Problems," Mathematics, MDPI, vol. 12(10), pages 1-27, May.
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