Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/167848 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 3 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 103-111
Verlag: 
MDPI, Basel
Zusammenfassung: 
In this paper, irrational exercise behavior of the buyer of an American put is characterized by a single parameter. We model irrational exercise rules as the first jump time of a point processes with stochastic intensity. By the rationality parameter, we parameterize a family of stochastic intensities that depends on the value of the put itself. We present a probabilistic proof that the value of the American put using the irrational exercise rule converges to the arbitrage-free price as the rationality parameter converges to infinity. Another application of this result is the penalty method for approximating the price of an American put.
Schlagwörter: 
behavioral modeling
irrational exercise rule
partial differential equation
penalty method
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
218.76 kB





Publikationen in EconStor sind urheberrechtlich geschützt.