The integral option in a model with jumps

DOI10.1016/J.SPL.2008.02.028MaRDI QIDQ952844zbMATH OpenOpenAlexFDO

Authors 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

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)

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• A jump-diffusion model for option pricing
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• Perpetual convertible bonds in jump-diffusion models
• Pricing derivatives of American and game type in incomplete markets
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Cited in

(8)

• Optimal stopping for a compound Poisson process with exponential jumps
• Perpetual barrier options in jump-diffusion models
• An optimal stopping problem for fragmentation processes
• On some functionals of the first passage times in jump models of stochastic volatility
• scientific article; zbMATH DE number 796444 (Why is no real title available?)
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• Optimal stopping problems for running minima with positive discounting rates
• Generalization of an integral option

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