Perpetual barrier options in jump-diffusion models (Q3429337)
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scientific article; zbMATH DE number 5139343
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| English | Perpetual barrier options in jump-diffusion models |
scientific article; zbMATH DE number 5139343 |
Statements
Perpetual barrier options in jump-diffusion models (English)
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30 March 2007
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American double barrier options
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optimal stopping problem
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jump-diffusion model
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integro-differential free-boundary problem
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continuous and smooth fit
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Itō-Tanaka-Meyer formula
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0.8507667779922485
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0.835780143737793
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0.834669828414917
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0.8345523476600647
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0.8255637884140015
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