Wanghui Yu

Soochow University

No. 1 Shizi Street

Taipei, Jiangsu 215006

Taiwan

SCHOLARLY PAPERS

1

DOWNLOADS

22

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

A Continuous-Exercise Model for American Call Options with Hedging Constraints

Number of pages: 19 Posted: 04 Apr 2016 Last Revised: 16 Apr 2016
Cong Qin, Xinfu Chen, Xin Lai and Wanghui Yu
Center for Financial Engineering, Independent, College of Science and Soochow University
Downloads 22 (543,830)
Citation 1

Abstract:

Loading...

American call options, continuous exercise, variational inequality, optimal exercise strategy, free boundary