Abstract
This paper addresses the pricing of perpetual American straddle options under the bifractional Black-Scholes model. We use the comparison principle for the variational inequality to analyze the behaviour of exercise boundaries for the perpetual American straddle option with a constant dividend yield. The conclusion is derived that it has two exercise boundary points with a constant dividend yield and only one free boundary point with zero dividend yield, which is consistent with the financial context.
Export citation and abstract BibTeX RIS
Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence. Any further distribution of this work must maintain attribution to the author(s) and the title of the work, journal citation and DOI.