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

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.

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Year of publication:	2012-03-29
Authors:	Sakagami, Yoshitaka

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Sakagami, Yoshitaka (2012): A note on the pricing of the perpetual American capped power put option.
Classification:	G12 - Asset Pricing
Source:	BASE

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