Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model

DOI10.1080/1350486X.2015.1118354zbMath1396.91721OpenAlexW2289835121MaRDI QIDQ4682493

Ming-Yao Tsai, Ming-Chi Chang, Yuan-Chung Sheu

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2015.1118354

zbMATH Keywords

option pricingoptimal stopping problemjump-diffusion processperpetual American compound option

Mathematics Subject Classification ID

Cites Work

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• Optimal stopping and perpetual options for Lévy processes
• Russian and American put options under exponential phase-type Lévy models.
• On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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