Perpetual exchange options under jump-diffusion dynamics (Q4682489)
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scientific article; zbMATH DE number 6938634
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| English | Perpetual exchange options under jump-diffusion dynamics |
scientific article; zbMATH DE number 6938634 |
Statements
Perpetual Exchange Options under Jump-Diffusion Dynamics (English)
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18 September 2018
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perpetual American options
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exchange options
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compound Poisson processes
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optimal stopping
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0.7771773934364319
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0.7617654800415039
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