The integral option in a model with jumps

DOI10.1016/j.spl.2008.02.028zbMath1221.60062OpenAlexW2053483706MaRDI QIDQ952844

Pavel V. Gapeev

Publication date: 14 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.028

Mathematics Subject Classification ID

Related Items (4)

An optimal stopping problem for fragmentation processes ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ On some functionals of the first passage times in jump models of stochastic volatility ⋮ On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models

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• Perpetual convertible bonds in jump-diffusion models

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