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

Yoshitaka Sakagami

MPRA Paper from University Library of Munich, Germany

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.

Keywords: The perpetual American capped power put option; geometric Brownian motion; free-boundary (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2012-03-29
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37727

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