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


  • Sakagami, Yoshitaka


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

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    More about this item


    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

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