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Optimal stopping for a diffusion with jumps

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  • Ernesto Mordecki

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    (Centro de MatemÂtica, Eduardo Acevedo 1139, C.P. 11200, Montevideo, Uruguay Manuscript)

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    Abstract

    In 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 Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 3 (1999)
    Issue (Month): 2 ()
    Pages: 227-236

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    Handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:227-236

    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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    Related research

    Keywords: Diffusion with jumps; optimal stopping; American options; derivative pricing;

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    Cited by:
    1. Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
    2. Pavel V. Gapeev, 2006. "On Maximal Inequalities for some Jump Processes," SFB 649 Discussion Papers SFB649DP2006-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Pauline Barrieu & N. Bellamy, 2007. "Optimal hitting time and perpetual option in a non-Lévy model: application to real options," LSE Research Online Documents on Economics 5099, London School of Economics and Political Science, LSE Library.
    4. 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.
    5. Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
    6. Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
    7. Pavel V. Gapeev, 2006. "Integral Options in Models with Jumps," SFB 649 Discussion Papers SFB649DP2006-068, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Pavel V. Gapeev, 2005. "The disorder problem for compound Poisson processes with exponential jumps," LSE Research Online Documents on Economics 3219, London School of Economics and Political Science, LSE Library.

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