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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