Optimal stopping for a diffusion with jumps
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.
scientific article; zbMATH DE number 1336678