Zobrazeno 1 - 1
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pro vyhledávání: '"Jesper Lund Pedersen"'
Publikováno v:
Risks, Vol 3, Iss 2, Pp 103-111 (2015)
In this paper, irrational exercise behavior of the buyer of an American put is characterized by a single parameter. We model irrational exercise rules as the first jump time of a point processes with stochastic intensity. By the rationality parameter
Externí odkaz:
https://doaj.org/article/a8f4bc469e8b4168a27e881b6218ba71
