Title of article
A simple heuristic for valuing certain perpetual American-type securities
Author/Authors
Angus، نويسنده , , J.E. and Hong، نويسنده , , X.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
5
From page
31
To page
35
Abstract
We present a simple, purely probabilistic method for valuing certain perpetual (i.e., with no expiration) derivative securities which may be exercised at the holderʹs option.
Keywords
martingales , Markov time , Perpetual options
Journal title
Mathematical and Computer Modelling
Serial Year
1998
Journal title
Mathematical and Computer Modelling
Record number
1591156
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