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
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
Journal title :
Mathematical and Computer Modelling
