3 papers
q-fin.MF2025
Pricing American Options Time-Capped by a Drawdown Event
Zbigniew Palmowski, PaweŠStȩpniak
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…
math.PR2025
Pricing American options time-capped by a drawdown event in a Lévy market
Zbigniew Palmowski, PaweŠStȩpniak
This paper presents a derivation of the explicit price for the perpetual American put option time-capped by the first drawdown epoch beyond a predefined level. We consider the mark…
q-fin.MF2025
Pricing time-capped American options using Least Squares Monte Carlo method
PaweŠStȩpniak, 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…