Hints for an extension of the early exercise premium formula for American options

Physica A: Statistical Mechanics and its Applications

Volumn 355, Issue 1, 2005, Pages 152-157

  Bermin, Hans Peter ^a   Kohatsu Higa, Arturo ^b   Perelló, Josep ^c  

^a Tokyo Branch Roppongi Hills   (Japan)

^b DEPARTMENT OF ECONOMICS AND BUSINESS   (Spain)

^c UNIVERSITY OF BARCELONA   (Spain)

Author keywords

American put option; Black Scholes; Computational methods; Econophysics; Option pricing

Indexed keywords

COMPUTATIONAL METHODS; DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; PROBLEM SOLVING; RANDOM PROCESSES;

AMERICAN PUT OPTION; BLANK-SCHOLES; ECONOPHYSICS; OPTION PRICING;

INDUSTRIAL ECONOMICS;

EID: 21444450866     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.077     Document Type: Conference Paper

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