Defaultable perpetual American put option in a last passage time model

DOI10.1016/J.SPL.2023.110018MaRDI QIDQ6569417zbMATH OpenFDO

Authors Libo Li

Publication date 9 July 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

option pricingfree-boundary problemoptimal stoppinglast exit time

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• A change-of-variable formula with local time on curves
• An essay on the general theory of stochastic processes
• On arbitrages arising with honest times
• On models of default risk.
• Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
• Time reversal and last passage time of diffusions with applications to credit risk management

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