Article contents
Bounds for the American perpetual put on a stock index
Published online by Cambridge University Press: 14 July 2016
Abstract
Let us consider n stocks with dependent price processes each following a geometric Brownian motion. We want to investigate the American perpetual put on an index of those stocks. We will provide inner and outer boundaries for its early exercise region by using a decomposition technique for optimal stopping.
MSC classification
- Type
- Research Papers
- Information
- Copyright
- Copyright © by the Applied Probability Trust 2001
References
- 1
- Cited by