"Pricing formulas for perpetual American options with general payoffs" by Marianito R. Rodrigo
An American option gives the holder the right, but not the obligation, to buy/sell an underlying asset from/to the writer at an agreed strike price at any time on or before the expiry date. Options are mainly used for speculation and hedging. The pricing of options is a fundamental problem in mathematical finance. One of the attractions of options is that they can be used to construct a wide range of trading strategies characterized by different payoff functions. As a preliminary step in the valuation of American options for a variety of trading strategies, in this article the pricing of perpe...
Source: uow.edu.au