Journal of Banking & Finance Vol. 29 No. 11 2005
The saga of the American put
Abstract
The American put is one of the oldest problems in mathematical finance. We review the development of the relevant literature over the last 40years. Today the mainstream computational problems have been solved satisfactorily and the target of research is shifting towards the development of further insights into the value of timing investment decisions.
- DOI
- 10.1016/j.jbankfin.2005.02.001
- Volume
- 29
- Issue
- 11
- Pages
- 2909-2918
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref