๐”– Bobbio Scriptorium
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Perpetual currency options

โœ 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

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