Perpetual Options on Multiple Underlyings

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	1-27
Number of pages	27
Journal	Applied Mathematical Finance
Volume	3
Issue number	4
Early online date	2 Sept 2013
DOIs	https://doi.org/10.1080/1350486X.2013.825437
Publication status	Published - 2014

Keywords

@article{8604e56ec2594f03b47b1c903eb66a62,

title = "Perpetual Options on Multiple Underlyings",

keywords = "american options, heston volatility model, Option pricing, perpetual options, rainbow options, stochastic volatility",

author = "Duck, {P W} and Evatt, {G W} and Johnson, {P V}",

year = "2014",

doi = "10.1080/1350486X.2013.825437",

language = "English",

volume = "3",

pages = "1--27",

journal = "Applied Mathematical Finance",

issn = "1466-4313",

publisher = "Routledge",

number = "4",

}

TY - JOUR

T1 - Perpetual Options on Multiple Underlyings

AU - Duck, P W

AU - Evatt, G W

AU - Johnson, P V

PY - 2014

Y1 - 2014

KW - american options

KW - heston volatility model

KW - Option pricing

KW - perpetual options

KW - rainbow options

KW - stochastic volatility

U2 - 10.1080/1350486X.2013.825437

DO - 10.1080/1350486X.2013.825437

M3 - Article

SN - 1466-4313

VL - 3

SP - 1

EP - 27

JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

IS - 4

ER -