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math.PR2022★ 2 cited
American Options with Last Exit Times: A Free-Boundary Approach
Zhuoshu Wu, Libo Li
We study the valuation of an American put option with a random time horizon given by the last exit time of the underlying asset from a fixed level. Since this random time is not a…
math.PR2022
Defaultable perpetual Russian option Under a last passage time model
Zhuoshu Wu, Libo Li
In this article we provide a valuation formula for a defaultable perpetual Russian option in the Black-Scholes market where the default time is modelled as the last passage time of…