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- W4298273354 abstract "We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation in which the volatility function may depend on the second derivative of the option price itself. We prove existence and uniqueness of a solution to the free boundary problem. We derive a single implicit equation for the free boundary position and the closed form formula for the option price. It is a generalization of the well-known explicit closed form solution derived by Merton for the case of a constant volatility. We also present results of numerical computations of the free boundary position, option price and their dependence on model parameters." @default.
- W4298273354 created "2022-10-01" @default.
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- W4298273354 date "2016-11-03" @default.
- W4298273354 modified "2023-09-27" @default.
- W4298273354 title "Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function" @default.
- W4298273354 doi "https://doi.org/10.48550/arxiv.1611.00885" @default.
- W4298273354 hasPublicationYear "2016" @default.
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