Double continuation regions for American options under Poisson exercise opportunities

DOI10.1111/mafi.12301zbMath1522.91282arXiv2004.03330OpenAlexW3136251127MaRDI QIDQ6054363

Kazutoshi Yamazaki, José Luis Pérez Garmendia, Zbigniew Palmowski

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.03330

zbMATH Keywords

Lévy processesoptimal stoppingAmerican optionsput-call symmetryPoisson observationsdouble continuation regions

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 (4)

Limit equations of adaptive Erlangization and their application to environmental management ⋮ Optimal Stopping for Exponential Lévy Models with Weighted Discounting ⋮ A general approximation method for optimal stopping and random delay ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Exit identities for Lévy processes observed at Poisson arrival times
• Optimal stopping problems for the maximum process with upper and lower caps
• On optimal periodic dividend strategies in the dual model with diffusion
• The McKean stochastic game driven by a spectrally negative Lévy process
• Optimal stopping and perpetual options for Lévy processes
• Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
• On optimal periodic dividend strategies for Lévy risk processes
• American options under periodic exercise opportunities
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Hyperbolic distributions in finance
• The Leland-Toft optimal capital structure model under Poisson observations
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• Introductory lectures on fluctuations of Lévy processes with applications.
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• On the optimal stopping problem for one-dimensional diffusions.
• Russian and American put options under exponential phase-type Lévy models.
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Some control problems with random intervention times
• Real options with a double continuation region
• Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models
• AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Perpetual barrier options in jump-diffusion models
• Perpetual American Options Under Lévy Processes
• Optimal stopping with random intervention times
• American Options with Discontinuous Two-Level Caps
• Double continuation regions for American and Swing options with negative discount rate in Lévy models
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
• Randomization and the American Put
• STOCK LOANS
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Option pricing when underlying stock returns are discontinuous
• Symmetry and duality in Lévy markets
• Optimal Stopping for Partial Sums

This page was built for publication: Double continuation regions for American options under Poisson exercise opportunities