17 citations · 122 across the 28 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2021★ 10 cited
The American put with finite-time maturity and stochastic interest rate
Cheng Cai, Tiziano De Angelis, Jan Palczewski
In this paper we study pricing of American put options on the Black and Scholes market with a stochastic interest rate and finite-time maturity. We prove that the option value is a…
q-fin.MF2020
Optimal hedging of a perpetual American put with a single trade
Cheng Cai, Tiziano De Angelis, Jan Palczewski
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading time…