American put options with regime-switching volatility
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis demonstrat...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Emerald Publishing
2024-05-01
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| Colecção: | Seonmul yeongu |
| Assuntos: | |
| Acesso em linha: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-12-2023-0043/full/pdf |
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