Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities.
| Autor: | Phelan, C. E.1 (AUTHOR) carolyn.phelan.14@ucl.ac.uk, Marazzina, D.2 (AUTHOR), Germano, G.1,3 (AUTHOR) |
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| Zdroj: | Quantitative Finance. Jun2020, Vol. 20 Issue 6, p899-918. 20p. 5 Charts, 14 Graphs. |
| Databáze: | Business Source Ultimate |
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