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Autor:
Humphrey K. K. Tung
Publikováno v:
Journal of Futures Markets. 36:793-815
This paper proposes a unique framework for the determination of the exercise boundary of American put option utilizing the mean value theorem for integration. We have isolated the path-dependent feature of the problem through a small term, and formul
Publikováno v:
Professional Financial Computing Using Excel and VBA
Publikováno v:
Professional Financial Computing Using Excel and VBA
Publikováno v:
Professional Financial Computing Using Excel and VBA
Autor:
Humphrey K. K. Tung
Publikováno v:
SSRN Electronic Journal.
This paper proposes a unique framework for the determination of the exercise boundary of American put option utilizing the mean value theorem for integration. We have isolated the path-dependent feature of the problem through a small term, and formul