Perpetual barrier options in jump-diffusion models
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Publication:3429337
DOI10.1080/17442500601086381zbMath1284.91544OpenAlexW2171819964MaRDI QIDQ3429337
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500601086381
jump-diffusion modeloptimal stopping problemAmerican double barrier optionscontinuous and smooth fitintegro-differential free-boundary problemItō-Tanaka-Meyer formula
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Related Items (2)
Double continuation regions for American options under Poisson exercise opportunities ⋮ Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
Cites Work
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- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
- Perpetual convertible bonds in jump-diffusion models
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