Optimal stopping for a diffusion with jumps
type: Item
instance of: scholarly article
title: Optimal stopping for a diffusion with jumps
zbMATH Open document ID: 0926.60034
author: Ernesto Mordecki
published in: Finance and Stochastics
publication date: 1999-09-14T00:00:00Z
review text: This paper contains some closed form solutions to optimal stopping problems when the stopped process is a diffusion process with jumps. The main application is option pricing when returns are allowed to jump at Poissonian times. The result can be interpreted as pricing perpetual American options under diffusion-jump information. The results presented are generalizations of the author's results for pure diffusion and pure jumps, respectively.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 1336678
zbMATH Keywords: diffusion with jumps
zbMATH Keywords: optimal stopping
zbMATH Keywords: American options
zbMATH Keywords: derivative pricing
MaRDI profile type: Publication
full work available at URL: s007800050060
OpenAlex ID: W1999591961
DOI: 10.1007/S007800050060
description: scientific article; zbMATH DE number 1336678