✦ LIBER ✦

Perpetual currency options

✍ Scribed by Mark B. Garman

Book ID: 119138382
Publisher: Elsevier Science
Year: 1987
Tongue: English
Weight: 392 KB
Volume: 3
Category: Article
ISSN: 0169-2070
DOI: 10.1016/0169-2070(87)90087-2

No coin nor oath required. For personal study only.

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## 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