The perpetual American put option in jump-to-default models

DOI10.1080/17442508.2016.1267177zbMath1410.91444OpenAlexW2581437581MaRDI QIDQ2974876

Hannah Dyrssen

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1267177

zbMATH Keywords

free-boundary problemoptimal stopping problemperpetual American optionsjump-to-default model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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