On optimal stopping problems for matrix-exponential jump-diffusion processes
The authors consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class, following the averaging problem approach (see, for example, [\textit{L. Alili} and \textit{A. E. Kyprianou}, Ann. Appl. Probab. 15, No. 3, 2062--2080 (2005; Zbl 1083.60034); \textit{A. E. Kyprianou} and \textit{B. A. Surya}, Electron. Commun. Probab. 10, 146--154 (2005; Zbl 1111.60024); \textit{A. Novikov} and \textit{A. Shiryaev}, Stochastics 79, No. 3--4, 393--406 (2007; Zbl 1114.60035); \textit{B. A. Surya}, Stochastics 79, No. 3--4, 337--361 (2007; Zbl 1156.60026)]), the authors give an explicit formula for solutions of the corresponding averaging problem. Based on this explicit formula, they obtain the optimal level and the value function for American call-type optimal stopping problems.
- Optimal stopping problem associated with jump-diffusion processes
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Optimal stopping for a diffusion with jumps
- Optimal stopping with irregular reward functions
- Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
- A note on \(r\)-balayages of matrix-exponential Lévy processes
- American options: the EPV pricing model
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- On a solution of the optimal stopping problem for processes with independent increments
- On the Novikov-Shiryaev optimal stopping problems in continuous time
- Optimal stopping and perpetual options for Lévy processes
- Optimal Stopping for Processes with Independent Increments, and Applications
- Optimal stopping of Hunt and Lévy processes
- Ruin probabilities
- Russian and American put options under exponential phase-type Lévy models.
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- Optimal stopping for a diffusion with jumps
- Optimal stopping of a killed exponentially growing process
- A class of solvable optimal stopping problems of spectrally negative jump diffusions
- Lévy processes, phase-type distributions, and martingales
- Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
- One-sided solutions for optimal stopping problems with logconcave reward functions
- Free boundary problems and perpetual American strangles
- Optimal stopping for a compound Poisson process with exponential jumps
- A general approximation method for optimal stopping and random delay
This page was built for publication: On optimal stopping problems for matrix-exponential jump-diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2897161)
