Pricing perpetual put options by the Black–Scholes Equation with a nonlinear volatility function
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black–Scholes equation in which the volatility function may depend on the second de...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.5/24431 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/24431 |