A note on pasting conditions for the American perpetual optimal stopping problem

DOI10.1016/j.spl.2008.09.002zbMath1489.60063OpenAlexW2069323791MaRDI QIDQ1003793

Albrecht Irle, Sören Christensen

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.002

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Optimal stopping and perpetual options for Lévy processes
• Sequential testing problems for Poisson processes.
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Russian and American put options under exponential phase-type Lévy models.
• Perpetual American Options Under Lévy Processes
• Financial Modelling with Jump Processes
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

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