Perpetual American Cancellable Standard Options in Models with Last Passage Times
We derive explicit solutions to the perpetual American cancellable standard put and call options in an extension of the Black–Merton–Scholes model. It is assumed that the contracts are cancelled at the last hitting times for the underlying asset price process of some constant upper or lower levels w...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-12-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/14/1/3 |