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Perpetual dual American barrier options for short sellers

Gapeev, Pavel V. (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. (In Press)

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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: 20 Feb 2020 00:17
URI: http://eprints.lse.ac.uk/id/eprint/100151

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