The pricing problem for a class of permanent American option

DOI10.12202/J.0476-0301.2020225MaRDI QIDQ3381019zbMATH OpenFDO

Authors Shu Wang, Fang Yuan

Publication date 29 September 2021

Full work available at URL https://doi.org/10.12202/J.0476-0301.2020225

zbMATH Keywords

Black-Scholes equationdiscontinuous volatilitypermanent American option

Mathematics Subject Classification ID

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

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(4)

• Pricing perpetual American catastrophe put options: A penalty function approach
• On the pricing formula for the perpetual American volatility option under the mean-reverting processes
• Perpetual American vanilla option pricing under single regime change risk: an exhaustive study
• Pricing formulas for perpetual American options with general payoffs

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