IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/37727.html
   My bibliography  Save this paper

A note on the pricing of the perpetual American capped power put option

Author

Listed:
  • Sakagami, Yoshitaka

Abstract

We 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.

Suggested Citation

  • Sakagami, Yoshitaka, 2012. "A note on the pricing of the perpetual American capped power put option," MPRA Paper 37727, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:37727
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/37727/4/MPRA_paper_37727.pdf
    File Function: original version
    Download Restriction: no

    More about this item

    Keywords

    The perpetual American capped power put option; geometric Brownian motion; free-boundary;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:37727. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.