A standard option extending out 1.5 years can cost 10% of the value of the underlying (fluctuating dramatically, up or down, based on volatility). Therefore, a ...

In contrast, a perpetual option could be much more expensive, costing 50% or even more of the underlying's value.

This paper discusses the martingale approach for pricing American-type options without an expiry date. These options include the perpetual American put option ...

Average as asset price versus average as strike price. • Average used as the asset price → Average price option. • Call payoff: (AT − K)+ or (GT − K)+.

13 авг. 2024 г. · The buyer of the option pays a premium to the seller in exchange for the right to buy or sell the underlying asset at a predetermined price, ...

Abstract. This thesis analyzes perpetual American options and in particular aims to identify what kind of behavior the implied volatility of perpetual Ameri ...

9 нояб. 2017 г. · We investigate qualitative and quantitative behavior of a solution of the math- ematical model for pricing American style of perpetual put ...

In this lecture we will see more applications of option pricing theory. ... Why didn't we study the perpetual American call option? The reason is that ...

Calculate the call and put prices of a perpetual American (style) option.

Perpetual futures prices are kept "in line" with spot market prices via a "Funding Rate" that is typically based on the difference between the future and spot ...