Perpetual barrier options in jump-diffusion models

DOI10.1080/17442500601086381MaRDI QIDQ3429337zbMATHOpenAlexFDO

Authors Pavel Gapeev

Publication date 30 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500601086381

zbMATH Keywords

optimal stopping problemjump-diffusion modelAmerican double barrier optionscontinuous and smooth fitintegro-differential free-boundary problemItō-Tanaka-Meyer formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Boundary value problems for functional-differential equations (34K10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• A barrier option of American type
• A jump-diffusion model for option pricing
• Calcul stochastique et problèmes de martingales
• Integro-differential equations for option prices in exponential Lévy models
• Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Optimal stopping and perpetual options for Lévy processes
• Optimal stopping for a diffusion with jumps
• Perpetual convertible bonds in jump-diffusion models
• Pricing derivatives of American and game type in incomplete markets
• Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
• Sequential testing problems for Poisson processes.
• Some remarks on first passage of Lévy processes, the American put and pasting principles

Cited in

(7)

• The perpetual American put option in jump-to-default models
• Perpetual dual American barrier options for short sellers
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Asymptotics of European double-barrier option with compound Poisson component
• Bounds for perpetual American option prices in a jump diffusion model
• Double continuation regions for American options under Poisson exercise opportunities
• Pricing perpetual American compound options under a matrix-exponential jump-diffusion model

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