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My bibliography Save this articlePricing Perpetual American Put Options with Asset-Dependent Discounting
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- Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2020.
"Double continuation regions for American and Swing options with negative discount rate in Lévy models,"
Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 196-227, January.
- Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Double continuation regions for American and Swing options with negative discount rate in L\'evy models," Papers 1801.00266, arXiv.org, revised Jan 2019.
- S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
- Loeffen, Ronnie L. & Renaud, Jean-François & Zhou, Xiaowen, 2014. "Occupation times of intervals until first passage times for spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1408-1435.
- Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
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- Jonas Al-Hadad & Zbigniew Palmowski, 2021. "Pricing Perpetual American put options with asset-dependent discounting," Papers 2103.02948, arXiv.org.
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Keywords
option pricing; American option; Lévy process;All these keywords.
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