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18 p, 148.1 KB Valoración de opciones de compra bermuda con precios de ejercicio variables / Leguey Galán, Santiago ; Llerena Garrés, Francesc
En el presente trabajo se obtiene una fórmula para valorar opciones de compra bermuda con precios de ejercicio variables sobre un activo subjayente que no paga dividendos y cuya dinámica viene descrita por un proceso browniano geométrico o lognormal. [...]
In this paper a formula is deduced in order to value bermuda call options with variable exercise prices on a non-dividend-paying stock. It is assumed that the dynamics of underlying asset prices are defined by a lognormal difussion process. [...]
1998
Revista española de economia, V. 15 N. 2 (1998) , p. 199-216  
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