… The next section presents the main contribution of this paper, pricing perpetual options
on assets whose prices can jump across the optimal option-exercise boundary. …

… In this section we consider the problem of pricing perpetual call and put options by its … for
prices of perpetual options, we specify the jump distribution of the underlying process. If q ∈ R, …

… a jump-diffusion. Under certain conditions our solution can be interpreted as the price of
an American perpetual put option, when the underlying asset follows this type of process. We …

… to price perpetual put options in the model where the logarithm of the stock price is a jump-…
the first time when the process { U (t); t > 0} attains a record low caused by a jump and Y = u …

… (jump-free). Similarly, we obtain a formula for the price of a perpetual American call option on
… In the appendix, we present a family of stochastic processes for modeling such stock-price …

… the perpetual American put option price of an exponential Lévy process whose jumps come
… In the context of the American option pricing problem, we will take µ = r + λ − λξ, in which ξ = …

… processes, hyperbolic processes, truncated Lévy processes, and their mixtures, we obtain
formulas for the optimal exercise price and the fair price of the option … and infimum processes, …

… a pricing formula for perpetual exchange options, where the dynamics of the underlying assets
are driven by jump-diffusion processes… have priced perpetual exchange options under the …

… perpetual American option pricing problem into an extended optimal stopping problem for a
two-dimensional Markov diffusion process, having the asset price … asset price process hits a …

… of a jump component in this stochastic process. Under … to price an American put option
when the underlying asset pays no dividends, and the time to expiration is infinite (the perpetual …