Rationality Parameter for Exercising American Put

Kamille Sofie Tågholt Gad; Jesper Lund Pedersen

doi:10.3390/risks3020103

Rationality Parameter for Exercising American Put

Kamille Sofie Tågholt Gad, Jesper Lund Pedersen

Institut for Matematiske Fag

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Originalsprog	Engelsk
Tidsskrift	Risks
Vol/bind	3
Udgave nummer	2
Sider (fra-til)	103-111
ISSN	2227-9091
DOI	https://doi.org/10.3390/risks3020103
Status	Udgivet - jun. 2015

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10.3390/risks3020103

Rationality Parameter for Exercising American PutForlagets udgivne version, 219 KB

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title = "Rationality Parameter for Exercising American Put",

keywords = "behavioral modeling, irrational exercise rule, partial differential equation, penalty method",

author = "Gad, {Kamille Sofie T{\aa}gholt} and Pedersen, {Jesper Lund}",

year = "2015",

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doi = "10.3390/risks3020103",

language = "English",

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journal = "Risks",

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AU - Gad, Kamille Sofie Tågholt

AU - Pedersen, Jesper Lund

PY - 2015/6

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KW - behavioral modeling

KW - irrational exercise rule

KW - partial differential equation

KW - penalty method

U2 - 10.3390/risks3020103

DO - 10.3390/risks3020103

M3 - Journal article

SN - 2227-9091

VL - 3

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EP - 111

JO - Risks

JF - Risks

IS - 2

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Rationality Parameter for Exercising American Put

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