Pricing Perpetual American Put Options with Asset-Dependent Discounting

Pricing Perpetual American Put Options with Asset-Dependent Discounting

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inlin...

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Bibliographic Details
Main Authors: Jonas Al-Hadad, Zbigniew Palmowski
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Journal of Risk and Financial Management
Subjects:
option pricing
American option
Lévy process
Online Access:https://www.mdpi.com/1911-8074/14/3/130

Internet

https://www.mdpi.com/1911-8074/14/3/130

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