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Evaluation of Perpetual American Put Options with General Payoff

In this paper, we study perpetual American put options with a generalized standard put payoff and establish sufficient conditions for the existence and uniqueness of the solution to the associated pricing problem. As a key tool, we express the Black–Scholes operator in terms of elasticity. This form...

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Principais autores: Luca Anzilli, Lucianna Cananà
פורמט: Artigo
שפה:Inglês
יצא לאור: MDPI AG 2025-06-01
סדרה:Risks
נושאים:
perpetual American option
option pricing
non-linear payoff
free-boundary problem
elasticity
power option
גישה מקוונת:https://www.mdpi.com/2227-9091/13/6/112
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