Optimal stopping and perpetual options for Lévy processes
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Publication:1424694
DOI10.1007/s007800200070zbMath1035.60038OpenAlexW2147994618MaRDI QIDQ1424694
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200070
Lévy processesoptimal stoppingAmerican optionsjump-diffusion modelsmixtures of exponential distributions
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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