Perpetual exchange options under jump-diffusion dynamics

DOI10.1080/1350486X.2015.1061443MaRDI QIDQ4682489zbMATH OpenFDO

Authors Gerald H. L. Cheang, Guang-Hua Lian

Publication date 18 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2015.1061443

zbMATH Keywords

compound Poisson processesexchange optionsoptimal stoppingperpetual American options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Actuarial bridges to dynamic hedging and option pricing
• Correction to: ``Exchange option under jump-diffusion dynamics
• Exchange Options Under Jump-Diffusion Dynamics
• Financial Modelling with Jump Processes
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Pricing Perpetual Options for Jump Processes
• Solving a two variables free boundary problem arising in a perpetual American exchange option pricing model
• The generalized perpetual American exchange-option problem
• The Valuation of American Options on Multiple Assets

Cited in

(5)

• Exchange Options Under Jump-Diffusion Dynamics
• Optimal hitting time and perpetual option in a non-Lévy model: application to real options
• Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• Pricing Perpetual Options for Jump Processes

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