ALFONSI, AURÉLIEN; JOURDAIN, BENJAMIN - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 545-566
(preprint, 2006, available at ) for perpetual American options when the Call-Put payoff (y - x)+ is replaced by ϕ(x,y). It turns … for European options. Last, we give some examples for which the optimal strategy is known explicitly. …