Pricing American options when asset prices jump.
Arunachalam ChockalingamKumar MuthuramanPublished in: Oper. Res. Lett. (2010)
Keyphrases
- dynamic pricing
- option pricing
- optimal pricing
- financial markets
- black scholes model
- market data
- pricing model
- pricing mechanism
- profit maximization
- yield management
- payoff functions
- double exponential
- pricing strategies
- revenue management
- market conditions
- markov chain
- united states
- black scholes
- supply chain management
- convertible bonds
- spot market
- distributional assumptions
- stock market
- real option
- decision analysis
- network revenue management
- portfolio theory
- supply chain
- electricity markets
- short term
- non stationary
- demand function