On the Pricing of American Options in Exponential Lévy Markets

DOI10.1239/jap/1183667410zbMath1133.60321MaRDI QIDQ5443740

Roman V. Ivanov

Publication date: 22 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1183667410

zbMATH Keywords

optimal stopping; incomplete market; American option; Levy process; lower price; upper price

Mathematics Subject Classification ID

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

Related Items

Modeling high-frequency financial data by pure jump processes, On the problem of optimal stopping for the composite Russian option, Optimal stopping problem in a model with compensated refusal of reward

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