American perpetual options with random start
We consider the valuation of American perpetual options with the property that they are only possible to exercise after the occurrence of a random time, which is a stopping time with respect to a given filtration. One situation where this feature is present is when making an irreversible investment,...
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| Format: | Article |
| Language: | English |
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Elsevier
2019-10-01
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| Series: | Results in Applied Mathematics |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037419300172 |