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

DOI10.1007/BF02683325zbMath0866.60038OpenAlexW2023142000MaRDI QIDQ5961568

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

zbMATH Keywords

optimal stopping American option free-boundary problem jump-diffusion model

Mathematics Subject Classification ID

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

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