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Towards Exact Nonextensive Solutions Of The American Style Options II

Fredrick Michael

posted on 08 February 2017

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Progress towards an exact solution(s) of the American style call or put option on the same footing as the European (Vanilla) call or put option has been reported by us recently, this under certain random (exercise) boundary assumptions . In this letter we present several (more) approaches towards deriving such exact solutions, functions that are obtained from & which are based on applying boundary conditions that are here additionally random in time. We derive under certain sets of limiting assumptions several closed form extensive & nonextensive statistics solution(s).