Exercise 15.2.6 Verify that the BlackScholes differential equation is violated where it is optimal to exercise the

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Exercise 15.2.6 Verify that the Black–Scholes differential equation is violated where it is optimal to exercise the American put early; i.e., X− S does not satisfy the equation.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 15.2.6 Verify that the BlackScholes differential equation is violated where it is optimal to exercise the American put early; i.e., X S does not satisfy the equation.
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Exercise 15.2.6 Verify that the BlackScholes differential equation is violated where it is optimal to exercise the

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Financial Engineering And Computation Principles Mathematics Algorithms

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