On the perpetual American put options for level dependent volatility models with jumps

DOI10.1080/14697680903170817zbMath1235.91160arXivmath/0703538OpenAlexW2092547172MaRDI QIDQ3169212

Erhan Bayraktar

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703538

zbMATH Keywords

optimal stoppingstochastic volatility modelmodel with jumpsperpetual American put

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Momentum liquidation under partial information ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Asset liquidation under drift uncertainty and regime-switching volatility ⋮ The shape of the value function under Poisson optimal stopping

Cites Work

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• Perpetual American put options in a level-dependent volatility model
• Randomization and the American Put
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems

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