Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing

Author:

Company RafaelORCID,Egorova Vera,Jódar LucasORCID,Vázquez Carlos

Funder

European Union

Ministerio de Economía y Competitividad Spanish

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference17 articles.

1. The rationality of early exercise decisions: evidence from the S & P 100 index options market;Diz;J. Rev. Financ. Stud.,1993

2. Irrational financial market behavior: evidence from the early exercise of exchange traded stock options;Poteshman;J. Finance,2003

3. Rationality parameter for Exercising American put;Tågholt-Gad;Risks,2015

4. Methods in Mathematical Finance;Karatzas,1998

5. Point Processes and Queues;Breamaud,1981

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