Pricing Perpetual Options for Jump Processes

DOI10.1080/10920277.1998.10595736MaRDI QIDQ5718304zbMATH OpenOpenAlexFDO

Authors H. U. Gerber, E. S. W. Shiu

Publication date 13 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.1998.10595736

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• On the Time Value of Ruin

Cited in

(30)

• Optimal payout policy in presence of downside risk
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• From ruin theory to pricing reset guarantees and perpetual put options
• Discounted probabilities and ruin theory in the compound binomial model
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
• On fair reinsurance premiums; capital injections in a perturbed risk model
• When is it no longer possible to estimate a compound Poisson process?
• The perpetual American put option in jump-to-default models
• Perpetual barrier options in jump-diffusion models
• Optimal hitting time and perpetual option in a non-Lévy model: application to real options
• On a compounding assets model with positive jumps
• On singular stochastic control and optimal stopping of spectrally negative jump diffusions
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Perpetual exchange options under jump-diffusion dynamics
• Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• On the expected discounted penalty function for Lévy risk processes
• Valuation of discrete dynamic fund protection under Lévy processes
• Dynamic fund protection for property markets
• On the expectation of total discounted operating costs up to default and its applications
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Dynamic Fund Protection
• Nonexponential asymptotics for the solutions of renewal equations, with applications
• Bounds for perpetual American option prices in a jump diffusion model
• Short Communication: A Primer on Perpetuals
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Pricing maturity guarantee with dynamic withdrawal benefit
• Pricing dynamic fund protections with regime switching
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator

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