Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
We investigate qualitative and quantitative behavior of a solution to the problem of pricing American style of perpetual put options. We assume the option price is a solution to a stationary generalized Black-Scholes equation in which the volatility may depend on the second derivative of the option...
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| Outros Autores: | , |
| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2018
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.5/16343 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/16343 |