On the Pricing of Options Written on the Last Exit Time

Jiro Akahori, Yuri Imamura () and Yuko Yano ()
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Yuri Imamura: Ritsumeikan University
Yuko Yano: Kyoto University

Methodology and Computing in Applied Probability, 2009, vol. 11, issue 4, 661-668

Abstract: Abstract We establish formulae of the pricing of options which are written on the last exit time with finite maturity. Our main theorem gives a description of a perfect hedging strategy for the Black-Scholes model.

Keywords: Brownian motion; Black-Scholes model; Option pricing; Last exit time; 60J65; 60G44; 62P05 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-008-9086-2

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