出版社：The Editorial Committee of the Interdisciplinary Information Sciences
摘要：We consider the problem of pricing the perpetual American call on the time-average of the stock. We prove that the value of this American contingent claim is the optimal expected payoff function g * of the associated optimal stopping problem. And g * is characterized by a unique solution of the associated free-boundary problem. We also identify an integral equation solved by the boundary function.
关键词：perpetual American call;Asian option;optimal stopping problem;free-boundary problem
