Perpetual American Cancellable Standard Options in Models with Last Passage Times

We derive explicit solutions to the perpetual American cancellable standard put and call options in an extension of the Black–Merton–Scholes model. It is assumed that the contracts are cancelled at the last hitting times for the underlying asset price process of some constant upper or lower levels w...

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Autors principals:	Pavel V. Gapeev, Libo Li, Zhuoshu Wu
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2020-12-01
Col·lecció:	Algorithms
Matèries:	perpetual American options optimal stopping problem Brownian motion first passage time last hitting time free-boundary problem
Accés en línia:	https://www.mdpi.com/1999-4893/14/1/3
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