Sakagami, Yoshitaka (2012): A note on the pricing of the perpetual American capped power put option.
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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.
|Item Type:||MPRA Paper|
|Original Title:||A note on the pricing of the perpetual American capped power put option|
|English Title:||A note on the pricing of the perpetual American capped power put option|
|Keywords:||The perpetual American capped power put option; geometric Brownian motion; free-boundary|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates|
|Depositing User:||yoshitaka sakagami|
|Date Deposited:||29. Mar 2012 13:46|
|Last Modified:||11. Feb 2013 20:55|
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