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Consider a American floating strike put option with maturity $T$, written on a non-dividend paying stock $S_t$. The strike of this option at time $t\leq T$ is $Ke^{-r (T-t )}$, where $r$ is the constant interest rate.

Assume the volatility of the underlying stock is constant.

What is the price of this option?

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    $\begingroup$ Hi ABC, welcome to Quant.SE and thank you for asking your question here. Can you show us what you have tried? $\endgroup$
    – Bob Jansen ♦
    Sep 28, 2014 at 14:51
  • $\begingroup$ @BobJansen I did. You need to meditate why that type of request makes no sense and actually harms these Q-A websites. $\endgroup$
    – Anna Taurogenireva
    Oct 1, 2014 at 14:28

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These options can be priced by adding an early exercise premium value to the intrinsic value:

https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.542.3141&rep=rep1&type=pdf

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  • $\begingroup$ I had the same question, but unfortunately the link in the answer is meanwhile dead. Does anyone have an answer for this? $\endgroup$
    – asardon
    Dec 8, 2021 at 13:08
  • $\begingroup$ I believe it to be this article. $\endgroup$
    – Pleb
    Dec 8, 2021 at 13:20

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