Perpetual options and Canadization through fluctuation theory

Annals of Applied Probability

Volumn 13, Issue 3, 2003, Pages 1077-1098

  Kyprianou, A E ^a   Pistorius, M R ^a,b  

^a UTRECHT UNIVERSITY   (Netherlands)

^b KING'S COLLEGE LONDON   (United Kingdom)

Author keywords

Bessel process; Brownian motion; Call option; Integral option; Laplace transform; Option pricing; Perpetual option; Put option; Russian option; Stopping time

Indexed keywords

EID: 0242502138     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1060202835     Document Type: Article

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