scientific article; zbMATH DE number 1897422

zbMATH Open1049.91080MaRDI QIDQ4802417FDOQ4802417

Authors: Ernesto Mordecki 

Publication date: 27 April 2003

Title of this publication is not available (Why is that?)

Recommendations

• Optimal stopping and perpetual options for Lévy processes
• Perpetual American Options Under Lévy Processes
• Optimal stopping in Lévy models for nonmonotone discontinuous payoffs
• Pricing American currency options in an exponential Lévy model
• American options under periodic exercise opportunities

zbMATH Keywords

financial mathematicsoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cited In (12)

• Two-sided optimal stopping for Lévy processes
• Optimal stopping for Lévy processes with one-sided solutions
• On singular stochastic control and optimal stopping of spectrally negative jump diffusions
• Perpetual American Options Under Lévy Processes
• Optimal stopping and perpetual options for Lévy processes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
• Early exercise boundary and option prices in Lévy driven models
• American options: the EPV pricing model
• Pricing Perpetual Options for Jump Processes
• Optimal hitting time and perpetual option in a non-Lévy model: application to real options
• Optimal payout policy in presence of downside risk

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