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

Department of Mathematical Sciences

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Original language	English
Journal	Risks
Volume	3
Issue number	2
Pages (from-to)	103-111
ISSN	2227-9091
DOIs	https://doi.org/10.3390/risks3020103
Publication status	Published - Jun 2015

Keywords

behavioral modeling
irrational exercise rule
partial differential equation
penalty method

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Rationality Parameter for Exercising American PutFinal published 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",

volume = "3",

pages = "103--111",

journal = "Risks",

issn = "2227-9091",

publisher = "MDPI",

number = "2",

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T1 - Rationality Parameter for Exercising American Put

AU - Gad, Kamille Sofie Tågholt

AU - Pedersen, Jesper Lund

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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

SP - 103

EP - 111

JO - Risks

JF - Risks

IS - 2

ER -

Rationality Parameter for Exercising American Put

Keywords

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