Gapeev, Pavel V.; Rodosthenous, Neofytos - In: Statistics & Risk Modeling 30 (2013) 1, pp. 1-21
Abstract We derive closed form solutions to the discounted optimal stopping problems related to the pricing of the perpetual American standard put and call options in an extension of the Black–Merton–Scholes model with piecewise-constant dividend and volatility rates. The method of proof is...