On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.

DOI10.1016/S0304-4149(02)00104-7zbMath1060.91061MaRDI QIDQ1766027

Avram Florin, Terence Chan, Miguel A. Usábel

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Laplace transform

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

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• Fluctuation theory in continuous time
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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Perpetual American Options Under Lévy Processes
• Randomization and the American Put
• Pricing Perpetual Options for Jump Processes
• Optimal stopping, free boundary, and American option in a jump-diffusion model

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