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Pavel V Gapeev

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#diffusion models Sep 2026

Pricing of perpetual American options in diffusion models with progressively enlarged filtrations

We study the problems of pricing of perpetual American options in one-dimensional positive diffusion models of financial markets with progressively enlarged Brownian reference filtrations. It is assumed that the reward processes represent integrals of discounted continuous piecewise-linear functions of the current valu...

Pavel V Gapeev · 0 citations

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