Perpetual American options in a diffusion model with stochastic interest rates


We present solutions to the perpetual American standard put and call option pricing problems in an extension of the Black-Merton-Scholes model in which the dynamics of the interest rate are described by a mean-reverting... [ view full abstract ]


  1. Pavel Gapeev (London School of Economics and Political Science)
  2. Goran Peskir (The University of Manchester)

Topic Areas

Interest Rates , Optimal Stopping , Options


MO-P-B2 » Option Pricing (14:30 - Monday, 16th July, Beckett 2)

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