Jonas Al-Hadad

most citedPerpetual American options with asset-dependent discounting

1 citations · 1 across the 1 of their papers we have counts for

collaborators

2 papers

q-fin.MF2021

Pricing Perpetual American put options with asset-dependent discounting

Jonas Al-Hadad, Zbigniew Palmowski

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can…

q-fin.MF2020★ 1 cited

Perpetual American options with asset-dependent discounting

Jonas Al-Hadad, Zbigniew Palmowski

In this paper we consider the following optimal stopping problem $V_{A}^{ω} (s) = τ \in T sup E_{s} [e^{- \int_{0}^{τ} ω (S_{w}) d w} g (S_{τ})],$ where the process $S_{t}$ …