rationality parameter for exercising american put
Clicks: 125
ID: 235458
2015
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This
article has not been analysed, so there is no overall score —
reader engagement is measured and shown alongside.
Reader Engagement
Popular Article
30.0
/100
125 views
27 readers
AI Quality Assessment
Not analyzed
Readership in this journal
PopularRanked #71 of 82 articles by views in world neurosurgery
Most read
Least read
Bar heights use a square-root scale.
Mint this article as an NFT
Not yet mintedCreate a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.
5
SUSD
one-off · no wallet required
Abstract
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.
| Reference Key |
gad2015risksrationality
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | ;Kamille Sofie Tågholt Gad;Jesper Lund Pedersen |
| Journal | world neurosurgery |
| Year | 2015 |
| DOI |
10.3390/risks3020103
|
| URL | |
| Keywords | Keywords not found |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
Comments
No comments yet. Be the first to comment on this article.