Perpetual call options with non-tradabil
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Ashay Kadam; Peter Lakner; Anand Srinivasan
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Article
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2005
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John Wiley and Sons
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English
β 189 KB
## Abstract We explicitly solve an optimal stopping problem related to the exercise of a perpetual American call option when the option holder cannot trade the underlying asset. We prove the verification theorem for the solution proposed. We derive the moment generating function of the optimal exer