We study the pricing of American options on two stocks without expiration date and with payoff functions which are positively homogeneous with respect to the two stock prices. Examples of such options are the perpetuai Margrabe option, whose payoff is the amount by which one stock outperforms...

The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power. Copyright 1993 Blackwell...