Perpetual options and Canadization through fluctuation theory

DOI10.1214/aoap/1060202835zbMath1039.60044OpenAlexW2024610598MaRDI QIDQ1425486

Andreas E. Kyprianou, Martijn R. Pistorius

Publication date: 21 March 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://dspace.library.uu.nl/handle/1874/3213

zbMATH Keywords

Laplace transformBessel processBrownian motionoption pricingstopping timecall optionRussian optionput optionintegral optionperpetual option

Mathematics Subject Classification ID

Related Items (49)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ On the randomized Schmitter problem ⋮ Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ On multivariate antagonistic marked point processes ⋮ The spectral representation of Bessel processes with constant drift: applications in queueing and finance ⋮ METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ ESO Valuation with Job Termination Risk and Jumps in Stock Price ⋮ Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ On fluctuations of a multivariate random walk with some applications to stock options trading and hedging ⋮ Tandem antagonistic games ⋮ Layers of noncooperative games ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ Random Walk Analysis in Antagonistic Stochastic Games ⋮ Optimal stopping problems for some Markov processes ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options ⋮ A drawdown reflected spectrally negative Lévy process ⋮ On One-Sided Stochastic Games and Their Applications to Finance ⋮ Level crossings of an oscillating marked random walk ⋮ Set-theoretic inequalities in stochastic noncooperative games with coalition ⋮ Exit problems in regime-switching models ⋮ A Dynkin game with asymmetric information ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ Phase-type Fitting of scale functions for spectrally negative Lévy processes ⋮ The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion ⋮ Valuing finite-lived Russian options ⋮ On noncooperative hybrid stochastic games ⋮ Fast and accurate pricing of barrier options under Lévy processes ⋮ Maintenance in single-server queues: a game-theoretic approach ⋮ On Strategic Defense in Stochastic Networks ⋮ Finite expiry Russian options ⋮ Maturity randomization for stochastic control problems ⋮ On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Switching tax structure and payouts in endogenous bankruptcy models ⋮ Characterizations of random walks on random lattices and their ramifications ⋮ Multilayers in a modulated stochastic game ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Optimal strategies in a risky debt context ⋮ On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process ⋮ Random observations of marked Cox processes. Time insensitive functionals ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ 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. ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

Cites Work

• The pricing of the American option
• The Russian option: Reduced regret
• Arbitrage pricing of Russian options and perpetual lookback options
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• On the Russian option: The expected waiting time
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Semi-stable Markov processes. I
• Randomization and the American Put
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