Search Results - "Kord Faghan, Yaser"
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Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function
Published in Asia-Pacific financial markets (01-12-2017)“…We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the…”
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Pricing American call options using the Black–Scholes equation with a nonlinear volatility function
Published in The journal of computational finance (2020)Get full text
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Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Published 02-07-2017“…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…”
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Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations
Published 02-07-2017“…We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on…”
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5
Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Published 03-11-2016“…We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the…”
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Journal Article