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Pricing American Options without Expiry Date
Pricing ... motion. Let S(t) be the price of a stock at time t and define X(t) by S(t) = S(0) eX(t), t ... te e S(t); t 0− ζ ≥ is a martingale. The martingale condition is * rt t r(0) (0)E e e S(t) e S(0)− ...- Authors: Carisa K W Yu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets