Optimal stopping, free boundary, and American option in a jump-diffusion model

DOI10.1007/BF02683325zbMATH Open0866.60038OpenAlexW2023142000MaRDI QIDQ5961568FDOQ5961568

Authors: Huyên Pham 

Publication date: 8 July 1997

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02683325

Recommendations

• Free boundary and American options in a jump-diffusion model
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
• Free boundary and optimal stopping problems for American Asian options
• Analysis of the optimal exercise boundary of American options for jump diffusions
• scientific article; zbMATH DE number 852303
• Optimal stopping in Hilbert spaces and pricing of American options
• Optimal stopping and American options with discrete dividends and exogenous risk
• Optimal stopping problem associated with jump-diffusion processes
• Publication:4489972

zbMATH Keywords

American optionfree-boundary problemoptimal stoppingjump-diffusion model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Cites Work

• The pricing of options and corporate liabilities
• Martingales and arbitrage in multiperiod securities markets
• Optimal Stopping and the American Put
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Variational inequalities and the pricing of American options
• Title not available (Why is that?)
• Calcul stochastique et problèmes de martingales
• Martingales and stochastic integrals in the theory of continuous trading
• Title not available (Why is that?)
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• The pricing of the American option
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• On optimal stopping and free boundary problems
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Title not available (Why is that?)
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Title not available (Why is that?)
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Title not available (Why is that?)
• The Free Boundary for Variational Inequalities with Nonlocal Operators

Cited In (75)

• Title not available (Why is that?)
• Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
• Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
• ESO Valuation with Job Termination Risk and Jumps in Stock Price
• FX Open Forward
• On some generalized American style derivatives
• Free boundary and retirement benefits pricing in a jump-diffusion model
• SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS
• A new form of the early exercise premium for American type derivatives
• Pricing American put options on defaultable bonds
• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• Deep learning of free boundary and Stefan problems
• Obstacle problems and free boundaries: an overview
• A simple numerical method for pricing an American put option
• On Kolmogorov equations for anisotropic multivariate Lévy processes
• A semilinear equation for the American option in a general jump market
• Optimal stopping and American options with discrete dividends and exogenous risk
• Numerical approximation of the integral fractional Laplacian
• Finite element approximation of the parabolic fractional obstacle problem
• Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
• The limiting shape for drifted internal diffusion limited aggregation is a true heat ball
• Regularity and multiplicity results for fractional (p,q)-Laplacian equations
• Optimal entry and consumption under habit formation
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• A General Optimal Multiple Stopping Problem with an Application to Swing Options
• Value function regularity in option pricing problems under a pure jump model
• The thin obstacle problem: a survey
• Continuous dependence estimates for viscosity solutions of integro-PDEs
• Optimal stopping under ambiguity in continuous time
• A note on pasting conditions for the American perpetual optimal stopping problem
• Hedging error estimate of the american put option problem in jump-diffusion processes
• Sensitivity analysis of the optimal exercise boundary of the American put option
• Optimal exercise of American put options near maturity: a new economic perspective
• Unbalanced \((p,2)\)-fractional problems with critical growth
• Lookback option pricing for regime-switching jump diffusion models
• On the perpetual American put options for level dependent volatility models with jumps
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Analytical solution for an investment problem under uncertainties with shocks
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
• A Longstaff and Schwartz approach to the early election problem
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
• The critical price for the American put in an exponential Lévy model
• Pricing American options when asset prices jump
• A PDE approach to fractional diffusion: a space-fractional wave equation
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
• Exercise boundary of the American put near maturity in an exponential Lévy model
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
• Early exercise boundaries for American-style knock-out options
• Analysis of the optimal exercise boundary of American options for jump diffusions
• An adaptive finite element method for the sparse optimal control of fractional diffusion
• Convergence of hitting times for jump-diffusion processes
• A self-exciting threshold jump-diffusion model for option valuation
• Valuation of American option in a double exponential jump-diffusion model with stochastic volatility
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• The American put option in a one-dimensional diffusion model with level-dependent volatility
• Convergence of the binomial tree method for Asian options in jump-diffusion models
• The early exercise boundary under the jump to default extended CEV model
• The critical price of the American put near maturity in the jump diffusion model
• PDE methods for optimal Skorokhod embeddings
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
• Optimal stopping problem for jump-diffusion processes with regime-switching
• Control-limit policies for a class of stopping time problems with termination restrictions
• Optimal stopping problems for asset management
• Analytical binomial lookback options with double-exponential jumps
• A proof of the smoothness of the finite time horizon American put option for jump diffusions
• Obstacle problem for nonlinear integro-differential equations arising in option pricing
• Some existence and uniqueness results for logistic Choquard equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Free boundary and American options in a jump-diffusion model
• Analytical valuation of American options on jump-diffusion processes.
• Local elliptic regularity for the Dirichlet fractional Laplacian

This page was built for publication: Optimal stopping, free boundary, and American option in a jump-diffusion model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5961568)