A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options.

Ji-Hun Yoon Jeong-Hoon Kim

Published in: Appl. Math. Lett. (2013)

Keyphrases

closed form
option pricing
black scholes
stock price
decision analysis
black scholes model
point correspondences
closed form solutions
iterative procedure
real option
historical data
long term
wavelet transform
stock market
fuzzy numbers
game playing