On the perpetual American put options for level dependent volatility models with jumps

DOI10.1080/14697680903170817zbMath1235.91160arXivmath/0703538MaRDI QIDQ3169212

Erhan Bayraktar

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703538

zbMATH Keywords

optimal stopping; stochastic volatility model; model with jumps; perpetual American put

Mathematics Subject Classification ID

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

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Recombining Tree Approximations for Optimal Stopping for Diffusions, Momentum liquidation under partial information

Cites Work

• Unnamed Item
• Adaptive Poisson disorder problem
• Volatility misspecification, option pricing and superreplication via coupling
• Solving optimal stopping problems of linear diffusions by applying convolution approximations
• Optimal stopping and perpetual options for Lévy processes
• A class of solvable impulse control problems
• Multisource Bayesian sequential change detection
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
• Robustness of the Black and Scholes Formula
• Perpetual American put options in a level-dependent volatility model
• Randomization and the American Put
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems