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Abstract: In this article it is shown that one is able to evaluate the price of perpetual calls, puts, Russian and integral options directly as the Laplace transform of a stopping time of an appropriate diffusion using standard fluctuation theory. This approach is offered in contrast to the approach of optimal stopping through free boundary problems [see volume 39,1 of Theory of Probability and its Applications]. Following ideas in [5], we discuss the Canadization of these options as a method of... (Update)
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BibTeX entry: (Update)
@misc{ kyprianou-perpetual,
author = "Andreas E. Kyprianou and Martijn R. Pistorius",
title = "Perpetual Options and Canadization Through Fluctuation Theory",
url = "citeseer.ist.psu.edu/407662.html" }
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2 Arbitrage Pricing of Russian Options and Perpetual Lookback .. (context) - Duffie, Harrison - 1993
2 Integral option (context) - Kramkov, Mordecky - 1995
2 A note on the structure of processes the measure of which is.. (context) - Kinkladze - 1982
1 Pricing options driven by single sided L'evy processes (context) - Avram, Pistorius - 2000
1 Asian options and perpetualities (context) - German, Yor - 1993
1 Toward the theory of options of both European and American t.. (context) - Shiryaev, Kabanov et al. - 1994
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