Bounds for perpetual American option prices in a jump diffusion model
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Publication:5754695
DOI10.1239/jap/1158784952zbMath1306.91136OpenAlexW2079831940MaRDI QIDQ5754695
Publication date: 23 August 2007
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1158784952
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
On the problem of optimal stopping for the composite Russian option ⋮ Optimal stopping problem in a model with compensated refusal of reward ⋮ On the Pricing of American Options in Exponential Lévy Markets
Cites Work
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- Optimal stopping and perpetual options for Lévy processes
- On the properties of \(r\)-excessive mappings for a class of diffusions
- Incompleteness of markets driven by a mixed diffusion
- Properties of American option prices
- On the optimal stopping problem for one-dimensional diffusions.
- PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
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