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Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function

Crossref DOI link: https://doi.org/10.1007/s10690-017-9234-1

Published Online: 2017-11-07

Published Print: 2017-12

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Grossinho, Maria do Rosário

Kord Faghan, Yaser

Ševčovič, Daniel https://orcid.org/0000-0002-1488-7736
Funding

Funding for this research was provided by:

FP7-PEOPLE-2012-ITN Project STRIKE (304617)

CEMAPRE (MULTI/00491)

Slovak Research Agency VEGA (1/0780/15)
License Information

License valid from 2017-11-07