Optimal Exercise Boundary of American Put Option
This work deals with American Put Option. Determining American Put Option is more difficult than European Put Option because the boundary is ambiguously known when the option must be exercised. This problem will be transformed to Partial Differensial Equation (PDE). The solution is obtained by using...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/11288 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |