A Note on the Pricing of American Capped Power Put Option
Faculty of Management, Otemon Gakuin University, Osaka Prefecture 567-0008, Japan
- *Corresponding Author:
- Yoshitaka Sakagami
Faculty of Management
Otemon Gakuin University
Osaka Prefecture 567-0008
E-mail: [email protected]
Received March 17, 2015; Accepted April 28, 2015; Published June 15, 2015
Citation: Sakagami Y (2015) DA Note on the Pricing of American Capped Power Put Option. J Bus Fin Aff 4:139. doi:10.4172/2167-0234.1000139
Copyright: © 2015 Sakagami Y. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
We give an explicit solution to the perpetual American capped power put option pricing problem in the BlackScholes-Merton Model. The approach is mainly based on free-boundary formulation and verification. For completeness we also give an explicit solution to the perpetual American standard power (_ 1) option pricing problem.