Optimal stopping for a diffusion with jumps

DOI10.1007/S007800050060zbMATH Open0926.60034OpenAlexW1999591961MaRDI QIDQ1297914FDOQ1297914

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

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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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