Defaultable perpetual Russian option Under a last passage time model
Probability
2026-03-31 v3
Abstract
In this article we provide a valuation formula for a defaultable perpetual Russian option in the Black-Scholes market where the default time is modelled as the last passage time of the running maximum of the stock price. In this setting, default occurs when the stock price fails to exceed its historical maximum, leading to a non-stopping time that depends on the path of the underlying asset.
Keywords
Cite
@article{arxiv.2211.13917,
title = {Defaultable perpetual Russian option Under a last passage time model},
author = {Zhuoshu Wu and Libo Li},
journal= {arXiv preprint arXiv:2211.13917},
year = {2026}
}