Sakagami, Yoshitaka (2012): A note on the pricing of the perpetual American capped power put option.
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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.
| 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 |
| Language: | English |
| 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 |
| Item ID: | 37727 |
| Depositing User: | yoshitaka sakagami |
| Date Deposited: | 29 Mar 2012 13:46 |
| Last Modified: | 21 Oct 2019 10:43 |
| References: | Esser, A. (2003). General Valuation Principles for Arbitrary Payoffs and Applications to Power Options Under Stochastic Volatility. Working paper, Goethe University. Heynen, R. G. and Kat, H. M. (1996). Pricing and Hedging Power Options.Financial Engineering and Japanese Markets, 3, 253-261. Peskir, G. and Shiryaev, A. N. (2006). Optimal Stopping and Free-Boundary Problems. Birkhauser, Basel. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/37727 |
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