Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model (Q4682493): Difference between revisions

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+Russian and American put options under exponential phase-type Lévy models.
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+Optimal stopping and perpetual options for Lévy processes
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+Q3378055
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+On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes
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+https://doi.org/10.1080/1350486x.2015.1118354
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+W2289835121
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