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Homeen-gbPricing American call options using the Black–Scholes equation with a nonlinear volatility functionIn this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.
https://www.risk.net/journal-of-computational-finance/7370406/pricing-american-call-options-using-the-black-scholes-equation-with-a-nonlinear-volatility-function
https://www.risk.net/journal-of-computational-finance/7370406/pricing-american-call-options-using-the-black-scholes-equation-with-a-nonlinear-volatility-function
Fri, 24 Jan 2020 09:02:37 +0000