barrier options and capped options, (ii) multiasset derivatives, (iii) occupation time derivatives and (iv) claims whose …

constant. American capped options with constant and growing caps are then analyzed. Valuation formulas are first provided for … capped options on dividend-paying assets in the context of the standard market model. Previously unpublished results are then … presented for capped options on nodividend-paying assets when the underlying asset price follows an Itô process with stochastic …

parametric valuation formulas are obtained. Finally, we extend results on American capped options to general diffusion prices …