The generalized perpetual American exchange-option problem

DOI10.1239/AAP/1208358891MaRDI QIDQ5387083zbMATH OpenOpenAlexFDO

Authors Shek-Keung Tony Wong

Publication date 15 May 2008

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1208358891

zbMATH Keywords

first passage time approachfree boundary approachoptimal stopping problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• On optimal stopping and free boundary problems
• Optimal Stopping of a Markov Process
• Stochastic differential equations. An introduction with applications.
• STOCK LOANS

Cited in

(8)

• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• Valuation of stock loans with jump risk
• A harmonic function technique for the optimal stopping of diffusions
• The optimal time to exchange one asset for another on finite interval
• Perpetual exchange options under jump-diffusion dynamics
• Pricing formulas for perpetual American options with general payoffs
• Optimal time to exchange two baskets
• Primal-Dual Active-Set Method for the Valuation Of American Exchange Options

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