Optimal stopping for a diffusion with jumps

DOI10.1007/S007800050060MaRDI QIDQ1297914zbMATHOpenAlexFDO

Authors Ernesto Mordecki

Publication date 14 September 1999

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050060

zbMATH Keywords

optimal stoppingAmerican optionsderivative pricingdiffusion with jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

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• On the First Passage Time Under Regime-Switching with Jumps
• The integral option in a model with jumps

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