TY - JOUR T1 - European Compound Options Written<br/>on Perpetual American Options JF - The Journal of Derivatives SP - 61 LP - 74 DO - 10.3905/jod.2013.20.3.061 VL - 20 IS - 3 AU - Gaia Barone Y1 - 2013/02/28 UR - https://pm-research.com/content/20/3/61.abstract N2 - It may seem counterintuitive, but valuing “perpetual” options, with infinite maturity, can be easier than pricing those that expire at a fixed date. At least Samuelson found it so in 1965. In this article, Barone extends the valuation models for perpetual options to cover American calls and puts on dividend-paying stocks, and European options written on these infinite maturity contracts. Formulas for the Greek letter risks are presented, as well as an analysis of how put-call parity works for them. Along the way, additional results are developed for first-touch digital options, both perpetual and finite maturity.TOPICS: Options, quantitative methods ER -