#
#
# Written by:
# -- 
# John L. Weatherwax                2009-04-21
# 
# email: wax@alum.mit.edu
# 
# Please send comments and especially bug reports to the
# above email address.
# 
#-----

E = 1
sor = 0.66 # sigma^2/(2 r)

S = seq(0, 1.5, length.out=200)

B = sor * ( E / ( 1 + sor ) )^( 1/sor + 1 )
SStar = E / ( 1 + sor ) 
V = B * S^(-1/sor)
V[ S<SStar ] = E - S[ S<SStar ] 

###postscript("../../WriteUp/Graphics/Chapter9/perpetual_american_put_plot.eps", onefile=FALSE, horizontal=FALSE)

plot( S, V, xlim=c(0,max(S)), ylim=c(0,max(V)), xlab="S", ylab="option value V" )

lines( S, E-S, ylim=c(0,max(V)) )

###dev.off()