 Perpetual put option

For risk-neutral stock dynamics $dS=(r-\delta )Sdt+\sigma SdW$, with $r>0$ and $\sigma >0$, let ${\beta }_{-}<0$ solve ${\sigma }^2\beta (\beta -1)/2+(r-\delta )\beta -r=0$. A fixed downward trigger $L\in (0,X)$ gives continuation value $(X-L)(S/L{)}^{{\beta }_{-}}$ for $S>L$. Optimizing over the trigger, or imposing smooth fit, gives the displayed boundary. The optimal value equals $X-S$ below $S^{\ast }$ and the continuation expression above. A verification argument uses its payoff majorization and nonpositive discounted generator. At $r=0$ and $\delta \ge 0$, the perpetual value is $X$ for positive spot, approached by triggers tending to zero rather than attained at a positive finite trigger.