On the Pricing of Perpetual American Compound Options

DOI10.1007/978-3-319-02069-3_13zbMath1418.91513OpenAlexW1599406803MaRDI QIDQ4561937

Pavel V. Gapeev, Neofytos Rodosthenous

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_13

zbMATH Keywords

geometric Brownian motionfree-boundary problemfirst hitting timeBlack-Merton-Scholes modellocal time-space formulamulti-step optimal stopping problemperpetual American compound options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions

Cites Work

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• An investment model with entry and exit decisions
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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