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

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.

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