Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function

We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation in which the volatility function may depend on the second de...

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Hauptverfasser:	Grossinho, Maria do Rosario, Faghan, Yaser Kord, Sevcovic, Daniel
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Mathematical Finance
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