Russian and American put options under exponential phase-type Lévy models.

DOI10.1016/j.spa.2003.07.005zbMath1075.60037OpenAlexW2090789457MaRDI QIDQ2574619

Florin Avram, Martijn R. Pistorius, Soren Asmussen

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2003.07.005

zbMATH Keywords

optimal stoppingWiener-Hopf factorizationfirst passage timeLévy processMarkov additive processRussian option

Mathematics Subject Classification ID

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Uses Software

• EMpht

Cites Work

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