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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-11-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/6/4/127 |