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Perpetual American put options in a level-dependent volatility model
Part of
- Stochastic processes
Erik Ekström
Journal:

Journal of Applied Probability / Volume 40 / Issue 3 / September 2003

Published online by Cambridge University Press:

14 July 2016, pp. 783-789

Print publication:

September 2003
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We find the explicit value of perpetual American put options in the constant elasticity of variance model using the concept of smooth fit. We show that the price is increasing in the volatility and convex in the underlying stock price. Moreover, as the model converges to the standard Black and Scholes model, the value of the put is shown to approach the ‘correct’ limit.

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Perpetual American put options in a level-dependent volatility model