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European Compound Options Written on Perpetual American Options
SSRN Electronic Journal, 2010It may seem counterintuitive, but valuing “perpetual” options, with infinite maturity, can be easier than pricing those that expire at a fixed date. At least Samuelson found it so in 1965. In this article, Barone extends the valuation models for perpetual options to cover American calls and puts on dividend-paying stocks, and European options written ...
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