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- W3136409242 abstract "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 VAPutω(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is a discount function and E is an expectation taken with respect to a martingale measure. Moreover, we assume that the asset price process St is a geometric Lévy process with negative exponential jumps, i.e., St=seζt+σBt−∑i=1NtYi. The asset-dependent discounting is reflected in the ω function, so this approach is a generalisation of the classic case when ω is constant. It turns out that under certain conditions on the ω function, the value function VAPutω(s) is convex and can be represented in a closed form. We provide an option pricing algorithm in this scenario and we present exact calculations for the particular choices of ω such that VAPutω(s) takes a simplified form." @default.
- W3136409242 created "2021-03-29" @default.
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- W3136409242 date "2021-03-20" @default.
- W3136409242 modified "2023-10-01" @default.
- W3136409242 title "Pricing Perpetual American Put Options with Asset-Dependent Discounting" @default.
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- W3136409242 doi "https://doi.org/10.3390/jrfm14030130" @default.
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