Perpetual American options with asset-dependent discounting

DOI10.1007/s00245-023-10084-4arXiv2007.09419OpenAlexW3121711493MaRDI QIDQ6139952

Zbigniew Palmowski, Jonas Al-Hadad

Publication date: 19 January 2024

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.09419

zbMATH Keywords

diffusionconvexityLévy processAmerican optionoptimal stopping problemBlack-Scholes market

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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