Optimal stopping for a diffusion with jumps
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- Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
- Gapeev, Pavel V., 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.
- Gapeev Pavel V. & Rodosthenous Neofytos, 2013. "Perpetual American options in a diffusion model with piecewise-linear coefficients," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 1-21, March.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000.
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- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stephane, 2003. "Investment timing under incomplete information," LSE Research Online Documents on Economics 19325, London School of Economics and Political Science, LSE Library.
- 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.
- Kleinert, Florian & van Schaik, Kees, 2015. "A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3234-3254.
- 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.
- Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
- S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
- Gapeev Pavel V. & Kühn Christoph, 2005. "Perpetual convertible bonds in jump-diffusion models," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 15-31, January.
- Barrieu, Pauline & Bellamy, N., 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.
- Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
- Gapeev, Pavel V. & Stoev, Yavor I., 2017. "On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 152-162.
- 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.
More about this item
KeywordsDiffusion with jumps; optimal stopping; American options; derivative pricing;
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