Defaultable perpetual American put option in a last passage time model
From MaRDI portal
Publication:6569417
DOI10.1016/J.SPL.2023.110018zbMATH Open1545.9131MaRDI QIDQ6569417FDOQ6569417
Authors: Libo Li 
Publication date: 9 July 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- A change-of-variable formula with local time on curves
- On models of default risk.
- Title not available (Why is that?)
- On arbitrages arising with honest times
- An essay on the general theory of stochastic processes
- Time reversal and last passage time of diffusions with applications to credit risk management
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
This page was built for publication: Defaultable perpetual American put option in a last passage time model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6569417)
