The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as begin{equation*} V^{omega}_{text{A}^{text{Put}}}(s) = sup_{tauinmathcal{T}} mathbb{E}_{s}[e^{-int_0^tau omega(S_w) dw} (K-S_tau)^{+}], end{equation*} where $mathcal{T}$ is a family of stopping times, $omega$ is a discount function and $mathbb{E}$ is an expectation taken with respect to a martingale measure. Moreover, we assume that the asset price process $S_t$ is a geometric Levy process with negative exponential jumps, i.e. $S_t = s e^{zeta t + sigma B_t - sum_{i=1}^{N_t} Y_i}$. The asset-dependent discounting is reflected in the $omega$ function, so this approach is a generalisation of the classic case when $omega$ is constant. It turns out that under certain conditions on the $omega$ function, the value function $V^{omega}_{text{A}^{text{Put}}}(s)$ is convex and can be represented in a closed form; see Al-Hadad and Palmowski (2021). We provide an option pricing algorithm in this scenario and we present exact calculations for the particular choices of $omega$ such that $V^{omega}_{text{A}^{text{Put}}}(s)$ takes a simplified form.
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