Optimal stopping for a diffusion with jumps (Q1297914)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal stopping for a diffusion with jumps |
scientific article; zbMATH DE number 1336678
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal stopping for a diffusion with jumps |
scientific article; zbMATH DE number 1336678 |
Statements
Optimal stopping for a diffusion with jumps (English)
0 references
14 September 1999
0 references
This paper contains some closed form solutions to optimal stopping problems when the stopped process is a diffusion process with jumps. The main application is option pricing when returns are allowed to jump at Poissonian times. The result can be interpreted as pricing perpetual American options under diffusion-jump information. The results presented are generalizations of the author's results for pure diffusion and pure jumps, respectively.
0 references
diffusion with jumps
0 references
optimal stopping
0 references
American options
0 references
derivative pricing
0 references
0.8744493126869202
0 references
0.8556140065193176
0 references
0.8166670799255371
0 references
