Optimal stopping for a diffusion with jumps
AbstractIn this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 3 (1999)
Issue (Month): 2 ()
Note: received: March 1997; final version received: April 1998
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Web page: http://www.springerlink.com/content/101164/
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- Pavel V. Gapeev, 2006. "Integral Options in Models with Jumps," SFB 649 Discussion Papers SFB649DP2006-068, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Pavel V. Gapeev, 2006. "On Maximal Inequalities for some Jump Processes," SFB 649 Discussion Papers SFB649DP2006-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2005.
"Investment Timing under Incomplete Information,"
Open Access publications from University of Toulouse 1 Capitole
http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
- Jean-Paul Decamps & Thomas Mariotti & Stephane Villeneuve, 2003. "Investment Timing under Incomplete Information," STICERD - Theoretical Economics Paper Series 444, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000. "Investment Timing under Incomplete Information," IDEI Working Papers 115, Institut d'Économie Industrielle (IDEI), Toulouse, revised Apr 2004.
- Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
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