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Free boundary problems and perpetual American strangles

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  • Ming-Chi Chang
  • Yuan-Chung Sheu

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  • Ming-Chi Chang & Yuan-Chung Sheu, 2013. "Free boundary problems and perpetual American strangles," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1149-1155, July.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:8:p:1149-1155
    DOI: 10.1080/14697688.2013.770159
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    3. Mitya Boyarchenko & Svetlana Boyarchenko, 2011. "Double Barrier Options In Regime-Switching Hyper-Exponential Jump-Diffusion Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1005-1043.
    4. Yu-Ting Chen & Cheng Few Lee & Yuan-Chung Sheu, 2020. "An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 41, pages 1561-1598, World Scientific Publishing Co. Pte. Ltd..
    5. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
    6. Ernesto Mordecki, 1999. "Optimal stopping for a diffusion with jumps," Finance and Stochastics, Springer, vol. 3(2), pages 227-236.
    7. Alexander Novikov & Albert Shiryaev, 2006. "On a Solution of the Optimal Stopping Problem for Processes with Independent Increments," Research Paper Series 178, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493.
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