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q-fin.MF2025
Pricing American Options Time-Capped by a Drawdown Event
Zbigniew Palmowski, Paweł Stȩpniak
This paper presents a derivation of the explicit price for the perpetual American put option in the Black-Scholes model, time-capped by the first drawdown epoch beyond a predefined…
q-fin.MF2022
Last passage American cancellable option in Lévy models
Zbigniew Palmowski, Paweł Stępniak
We derive the explicit price of the perpetual American put option cancelled at the last passage time of the underlying above some fixed level. We assume the asset process is govern…