In this paper we generalise a classical result for perpetual American put options with standard payoff function by considering a more general class of payoff functions having strictly decreasing elasticity. Some properties of this class of payoff functions are discussed.
Pricing perpetual contingent claim: an extension
Cananà Lucianna;Scolozzi Donato
2016-01-01
Abstract
In this paper we generalise a classical result for perpetual American put options with standard payoff function by considering a more general class of payoff functions having strictly decreasing elasticity. Some properties of this class of payoff functions are discussed.File in questo prodotto:
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