On the perpetual American put options for level dependent volatility models with jumps

DOI10.1080/14697680903170817zbMath1235.91160arXivmath/0703538MaRDI QIDQ3169212

Erhan Bayraktar

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703538

zbMATH Keywords

optimal stopping; stochastic volatility model; model with jumps; perpetual American put

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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