A note on the pricing of the perpetual American capped power put option
AbstractWe give an explicit solution to the perpetual American capped power put option pricing problem in the Black-Scholes-Merton Model. The approach is mainly based on free-boundary formulation and verification. For completeness we also give an explicit solution to the perpetual American standard power (≥1) option pricing problem.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 37727.
Date of creation: 29 Mar 2012
Date of revision:
The perpetual American capped power put option; geometric Brownian motion; free-boundary;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-10 (All new papers)
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