Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

DOI10.1080/14697688.2020.1718192zbMath1454.91304arXiv2106.06030OpenAlexW3008970350MaRDI QIDQ5139204

Carolyn E. Phelan, Guido Germano, Daniele Marazzina

Publication date: 7 December 2020

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

Full work available at URL: https://arxiv.org/abs/2106.06030

zbMATH Keywords

Lévy processesperpetual American optionsperpetual Bermudan optionsSpitzer identitieshindsight options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing discretely-monitored double barrier options with small probabilities of execution ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

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