Optimal hitting time and perpetual option in a non-Lévy model: application to real options

DOI10.1239/AAP/1183667621zbMath1132.60035OpenAlexW2236063524MaRDI QIDQ3590749

Nadine Bellamy, Pauline Barrieu

Publication date: 3 September 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1183667621

zbMATH Keywords

point processoptimal stopping timereal optionperpetual American option

Mathematics Subject Classification ID

Special processes (60K99) Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Choosing among alternative discrete investment projects under uncertainty
• Pricing American put options on defaultable bonds
• Optimal stopping and perpetual options for Lévy processes
• Optimal Stopping and the American Put
• Pricing American currency options in an exponential Lévy model
• Pricing Perpetual Options for Jump Processes

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