Defaultable perpetual American put option in a last passage time model

DOI10.1016/j.spl.2023.110018zbMath1545.9131MaRDI QIDQ6569417

Libo Li, Unnamed Author

Publication date: 9 July 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingoption pricingfree-boundary problemlast exit time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

This page was built for publication: Defaultable perpetual American put option in a last passage time model