On optimal stopping problems for matrix-exponential jump-diffusion processes
DOI10.1239/JAP/1339878803zbMATH Open1252.60039OpenAlexW2040459019MaRDI QIDQ2897161FDOQ2897161
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
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optimal stopping problemjump-diffusion processaveraging problemmatrix-exponential distributionAmerican call-type reward function
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Ruin probabilities
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- Russian and American put options under exponential phase-type Lévy models.
- American options: the EPV pricing model
- Optimal Stopping for Processes with Independent Increments, and Applications
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Optimal stopping and perpetual options for Lévy processes
- On the Novikov-Shiryaev optimal stopping problems in continuous time
- A note on \(r\)-balayages of matrix-exponential Lévy processes
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- Optimal stopping of Hunt and Lévy processes
- On a solution of the optimal stopping problem for processes with independent increments
Cited In (6)
- Lévy processes, phase-type distributions, and martingales
- A general approximation method for optimal stopping and random delay
- Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model
- Free boundary problems and perpetual American strangles
- A class of solvable optimal stopping problems of spectrally negative jump diffusions
- One-sided solutions for optimal stopping problems with logconcave reward functions
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