Optimal stopping for a diffusion with jumps
From MaRDI portal
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.
Recommendations
Cited in
(33)- Obstacle problems and free boundaries: an overview
- The disorder problem for compound Poisson processes with exponential jumps
- An optimal stopping problem for jump diffusion logistic population model
- First-passage times of regime switching models
- A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
- Analytical binomial lookback options with double-exponential jumps
- On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Optimal stopping problem for jump-diffusion processes with regime-switching
- A finite exact algorithm to solve a dice game
- Real options with a double continuation region
- On optimal stopping problems for matrix-exponential jump-diffusion processes
- Optimal stopping problem associated with jump-diffusion processes
- A class of solvable optimal stopping problems of spectrally negative jump diffusions
- Optimal stopping problems for asset management
- Optimal strategies in a risky debt context
- Perpetual barrier options in jump-diffusion models
- On a problem of optimal stopping in mathematical finance
- On the First Passage Time Under Regime-Switching with Jumps
- Technological advances and the decision to invest
- Exact solutions to the homing problem for a Wiener process with jumps
- On some functionals of the first passage times in jump models of stochastic volatility
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- Free boundary problems and perpetual American strangles
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- An optimal stopping problem for a geometric Brownian motion with Poissonian jumps
- Optimal stopping for a compound Poisson process with exponential jumps
- Optimal timing of business conversion for solvency improvement
- On the last zero process with an application in corporate bankruptcy
- Perpetual American options in a jump-diffusion model with random inspection
- American Parisian options
- The integral option in a model with jumps
This page was built for publication: Optimal stopping for a diffusion with jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1297914)