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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.MF2025
Pricing time-capped American options using Least Squares Monte Carlo method
Paweł Stȩpniak, Zbigniew Palmowski
In this paper, we adopt the least squares Monte Carlo (LSMC) method to price time-capped American options. The aforementioned cap can be an independent random variable or dependent…