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Applied Mathematical Finance Volume 22, 2015 - Issue 6
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Original Articles

Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model

Ming-Chi ChangDepartment of Applied Mathematics, National Chiao Tung University, Hsinchu30010, Taiwan
,
Yuan-Chung SheuDepartment of Applied Mathematics, National Chiao Tung University, Hsinchu30010, TaiwanCorrespondence[email protected]
&
Ming-Yao TsaiDepartment of Applied Mathematics, National Chiao Tung University, Hsinchu30010, Taiwan
Pages 553-575 | Received 08 Oct 2013, Accepted 19 Oct 2015, Published online: 10 Dec 2015

References

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