On optimal stopping problems for matrix-exponential jump-diffusion processes

DOI10.1239/JAP/1339878803MaRDI QIDQ2897161zbMATHOpenAlexFDO

Authors Yuan-Chung Sheu, Ming-Yao Tsai

Publication date 8 July 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1339878803

zbMATH Keywords

optimal stopping problemjump-diffusion processaveraging problemmatrix-exponential distributionAmerican call-type reward function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A note on \(r\)-balayages of matrix-exponential Lévy processes
• American options: the EPV pricing model
• An approach for solving perpetual optimal stopping problems driven by Lévy processes
• On a solution of the optimal stopping problem for processes with independent increments
• On the Novikov-Shiryaev optimal stopping problems in continuous time
• Optimal Stopping for Processes with Independent Increments, and Applications
• Optimal stopping and perpetual options for Lévy processes
• Optimal stopping of Hunt and Lévy processes
• Ruin probabilities
• Russian and American put options under exponential phase-type Lévy models.
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

Cited in

(8)

• Optimal stopping for a compound Poisson process with exponential jumps
• Optimal stopping of a killed exponentially growing process
• A general approximation method for optimal stopping and random delay
• Free boundary problems and perpetual American strangles
• Lévy processes, phase-type distributions, and martingales
• A class of solvable optimal stopping problems of spectrally negative jump diffusions
• One-sided solutions for optimal stopping problems with logconcave reward functions
• Pricing perpetual American compound options under a matrix-exponential jump-diffusion model

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