Perpetual options and Canadization through fluctuation theory
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Publication:1425486
DOI10.1214/AOAP/1060202835zbMath1039.60044OpenAlexW2024610598MaRDI QIDQ1425486
Andreas E. Kyprianou, Martijn R. Pistorius
Publication date: 21 March 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://dspace.library.uu.nl/handle/1874/3213
Laplace transformBessel processBrownian motionoption pricingstopping timecall optionRussian optionput optionintegral optionperpetual option
Stochastic models in economics (91B70) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Auctions, bargaining, bidding and selling, and other market models (91B26)
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Cites Work
- The pricing of the American option
- The Russian option: Reduced regret
- Arbitrage pricing of Russian options and perpetual lookback options
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- On the Russian option: The expected waiting time
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Semi-stable Markov processes. I
- Randomization and the American Put
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