The perpetual American put option for jump-diffusions with applications

Research, Article, Preprint English OPEN
Aase, Knut K.;
(2005)
  • Publisher: Norwegian School of Economics and Business Administration. Department of Finance and Management Science
  • Journal: issn: 1500-4066
  • Publisher copyright policies & self-archiving
  • Subject: optimal stopping | Optimal exercise policy; American put option; perpetual option; optimal stopping; incomplete markets; equity premiums; CCAPM. | optimal exercise policy | equity premiums | perpetual option | american put option | incomplete markets | Optimal exercise policy, American put option, perpetual option, optimal stopping, incomplete markets, equity premiums, CCAPM | CCAPM
    • jel: jel:G00

In this paper, we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American perpetual put option, when the underlying asset fol... View more
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