Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

DOI10.1214/aoap/1075828052zbMath1042.60023MaRDI QIDQ1431556

Florin Avram, Martijn R. Pistorius, Andreas E. Kyprianou

Publication date: 10 June 2004

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

Full work available at URL: https://doi.org/10.1214/aoap/1075828052

zbMATH Keywords

optimal stopping; American option; scale functions; Russian option; exit problems; Canadized option; reflected Levý processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B70: Stochastic models in economics

60G40: Stopping times; optimal stopping problems; gambling theory

60J99: Markov processes

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