Optimal stopping, free boundary, and American option in a jump-diffusion model
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Publication:5961568
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Cited in
(79)- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- FX Open Forward
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- A new form of the early exercise premium for American type derivatives
- Smooth upper bounds for the price function of American style options
- Valuation on American put option in an affine diffusion model with double jumps
- On some generalized American style derivatives
- ESO valuation with job termination risk and jumps in stock price
- Free boundary and retirement benefits pricing in a jump-diffusion model
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- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- A note on pasting conditions for the American perpetual optimal stopping problem
- Analysis of the optimal exercise boundary of American options for jump diffusions
- Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
- A Longstaff and Schwartz approach to the early election problem
- PDE methods for optimal Skorokhod embeddings
- CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
- Convergence of hitting times for jump-diffusion processes
- Early exercise boundaries for American-style knock-out options
- An adaptive finite element method for the sparse optimal control of fractional diffusion
- A self-exciting threshold jump-diffusion model for option valuation
- Numerical approximation of the integral fractional Laplacian
- Lookback option pricing for regime-switching jump diffusion models
- A general optimal multiple stopping problem with an application to swing options
- Unbalanced \((p,2)\)-fractional problems with critical growth
- The American put option in a one-dimensional diffusion model with level-dependent volatility
- On controller-stopper problems with jumps and their applications to indifference pricing of American options
- On the perpetual American put options for level dependent volatility models with jumps
- Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
- The perpetual American put option in jump-to-default models
- Some existence and uniqueness results for logistic Choquard equations
- The early exercise boundary under the jump to default extended CEV model
- Analytical valuation of American options on jump-diffusion processes.
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Analytical solution for an investment problem under uncertainties with shocks
- Value function regularity in option pricing problems under a pure jump model
- A simple numerical method for pricing an American put option
- The limiting shape for drifted internal diffusion limited aggregation is a true heat ball
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- A PDE approach to fractional diffusion: a space-fractional wave equation
- Analytical binomial lookback options with double-exponential jumps
- The thin obstacle problem: a survey
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- Optimal exercise boundary via intermediate function with jump risk
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
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- Sensitivity analysis of the optimal exercise boundary of the American put option
- Valuation of American option in a double exponential jump-diffusion model with stochastic volatility
- A proof of the smoothness of the finite time horizon American put option for jump diffusions
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- A semilinear equation for the American option in a general jump market
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- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
- The critical price of the American put near maturity in the jump diffusion model
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Optimal stopping and American options with discrete dividends and exogenous risk
- Control-limit policies for a class of stopping time problems with termination restrictions
- Local elliptic regularity for the Dirichlet fractional Laplacian
- Obstacle problems and free boundaries: an overview
- Optimal stopping problems for asset management
- Optimal exercise of American put options near maturity: a new economic perspective
- Pricing American put options on defaultable bonds
- Optimal stopping under ambiguity in continuous time
- Free boundary and American options in a jump-diffusion model
- Exercise boundary of the American put near maturity in an exponential Lévy model
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- The critical price for the American put in an exponential Lévy model
- Obstacle problem for nonlinear integro-differential equations arising in option pricing
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- Hedging error estimate of the American put option problem in jump-diffusion processes
- Pricing American options when asset prices jump
- Optimal entry and consumption under habit formation
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