Perpetual barrier options in jump-diffusion models
DOI10.1080/17442500601086381zbMATH Open1284.91544OpenAlexW2171819964MaRDI QIDQ3429337FDOQ3429337
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
Recommendations
- Perpetual dual American barrier options for short sellers
- Pricing Perpetual Options for Jump Processes
- Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
- Perpetual American options in a diffusion model with piecewise-linear coefficients
- The integral option in a model with jumps
optimal stopping problemjump-diffusion modelAmerican double barrier optionscontinuous and smooth fitintegro-differential free-boundary problemItō-Tanaka-Meyer formula
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)
Cites Work
- A jump-diffusion model for option pricing
- Sequential testing problems for Poisson processes.
- Title not available (Why is that?)
- Calcul stochastique et problèmes de martingales
- Title not available (Why is that?)
- Integro-differential equations for option prices in exponential Lévy models
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
- Perpetual convertible bonds in jump-diffusion models
- A barrier option of American type
- Optimal stopping and perpetual options for Lévy processes
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- Optimal stopping for a diffusion with jumps
- 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
Cited In (4)
- Bounds for perpetual American option prices in a jump diffusion model
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Double continuation regions for American options under Poisson exercise opportunities
- Asymptotics of European double-barrier option with compound Poisson component
This page was built for publication: Perpetual barrier options in jump-diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3429337)
