Pricing of perpetual Bermudan options
研究了离散时间下的永久百慕大期权和更一般的永久美式期权，利用Wiener-Hopf分解公式得到精确解析定价公式，并在特定条件下推导出简化近似公式。
Abstract We consider perpetual Bermudan options and more general perpetual American options in discrete time. For wide classes of processes and pay‐offs, we obtain exact analytical pricing formulae in terms of the factors in the Wiener‐Hopf factorization formulae. Under additional conditions on the process, we derive simpler approximate formulae.