Perpetual dual American barrier options for short sellers

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2019) Perpetual dual American barrier options for short sellers. In: 14th Workshop on Stochastic Models, Statistics and their Application, 2019-03-06 - 2019-03-08, Technical University of Dresden, Dresden, Germany, DEU.

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Abstract

We obtain closed-form solutions to the problems of pricing of perpetual American put and call barrier options in the one-dimensional Black-Merton-Scholes model from the point of view of short sellers. The proof is based on the reduction of the original optimal stopping problems for a one-dimensional geometric Brownian motion with positive exponential discounting rates to the equivalent free-boundary problems and the solution of the latter problems by means of the smooth-fit conditions.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	© 2019 The Author
Divisions:	Mathematics
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
Date Deposited:	27 Feb 2019 13:06
Last Modified:	27 Jan 2025 06:45
URI:	http://eprints.lse.ac.uk/id/eprint/100151

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