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q-fin.CP2017★ 1 cited
Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations
Maria do Rosario Grossinho, Yaser Faghan Kord, Daniel Sevcovic
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative…
q-fin.CP2017★ 1 cited
Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Maria do Rosario Grossinho, Yaser Faghan Kord, Daniel Sevcovic
In this paper we investigate a nonlinear generalization of the Black-Scholes equation for pricing American style call options in which the volatility term may depend on the underly…