Perpetual American Defaultable Options in Models with Random Dividends and Partial Information

Perpetual American Defaultable Options in Models with Random Dividends and Partial Information

We present closed-form solutions to the perpetual American dividend-paying put and call option pricing problems in two extensions of the Black⁻Merton⁻Scholes model with random dividends under full and partial information. We assume that the dividend rate of the underlying asset p...

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Bibliographic Details
Main Authors: Pavel V. Gapeev, Hessah Al Motairi
Format: Article
Language:English
Published: MDPI AG 2018-11-01
Series:Risks
Subjects:
perpetual American options
random dividends
optimal stopping problem
Brownian motion
hidden Markov chain
filtering estimate
innovation process
free-boundary problem
a change-of-variable formula with local time on surfaces
Online Access:https://www.mdpi.com/2227-9091/6/4/127

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https://www.mdpi.com/2227-9091/6/4/127

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