The generalized perpetual American exchange-option problem

DOI10.1239/aap/1208358891zbMath1490.91224OpenAlexW2001642548MaRDI QIDQ5387083

Shek-Keung Tony Wong

Publication date: 15 May 2008

Published in: Unnamed Author (Search for Journal in Brave)

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

zbMATH Keywords

optimal stopping problemfree boundary approachfirst passage time approach

Mathematics Subject Classification ID

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

Related Items (5)

Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ Primal-Dual Active-Set Method for the Valuation Of American Exchange Options ⋮ Valuation of stock loans with jump risk ⋮ Perpetual Exchange Options under Jump-Diffusion Dynamics ⋮ A harmonic function technique for the optimal stopping of diffusions

Cites Work

• On optimal stopping and free boundary problems
• Optimal Stopping of a Markov Process
• STOCK LOANS
• Stochastic differential equations. An introduction with applications.
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