ZHU, SONG-PING; CHEN, WEN-TING - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1279-1297
In this paper, we present a correction to Merton (1973)'s well-known classical case of pricing perpetual American put options by considering the same pricing problem under a stochastic volatility model with the assumption that the volatility is slowly varying. Two analytic formulae for the...