The integral option in a model with jumps

DOI10.1016/J.SPL.2008.02.028zbMATH Open1221.60062OpenAlexW2053483706MaRDI QIDQ952844FDOQ952844

Pavel Gapeev

Publication date: 14 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.028

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Boundary value problems for functional-differential equations (34K10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70)

Cites Work

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• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Perpetual convertible bonds in jump-diffusion models
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• Optimal stopping for a diffusion with jumps
• Pricing derivatives of American and game type in incomplete markets
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Cited In (7)

• Title not available (Why is that?)
• An optimal stopping problem for fragmentation processes
• Generalization of an integral option
• Optimal stopping problems for running minima with positive discounting rates
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• On some functionals of the first passage times in jump models of stochastic volatility
• Perpetual barrier options in jump-diffusion models

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