Perpetual American vanilla option pricing under single regime change risk . An exhaustive study

Abstract

Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in which some of the properties —volatility and dividend policy— of the underlying stock can change at a random instant of… (More)

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Cite this paper

@inproceedings{Montero2008PerpetualAV, title={Perpetual American vanilla option pricing under single regime change risk . An exhaustive study}, author={Miquel Montero}, year={2008} }