NORMA eResearch @NCI Library

European Compound Options Written on Perpetual American Options

Barone, Gaia (2013) European Compound Options Written on Perpetual American Options. The Journal of Derivatives, 20 (3). pp. 61-74. ISSN 2168-8524

Full text not available from this repository.
Official URL:


It 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 on these infinite maturity contracts. Formulas for the Greek letter risks are presented, as well as an analysis of how put-call parity works for them. Along the way, additional results are developed for first-touch digital options, both perpetual and finite maturity.

Item Type: Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > Investment
Divisions: School of Business > Staff Research and Publications
Depositing User: Caoimhe Ní Mhaicín
Date Deposited: 13 Sep 2018 10:40
Last Modified: 13 Sep 2018 10:40

Actions (login required)

View Item View Item