Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes
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References listed on IDEAS
- 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.
- Duistermaat, J.J. & Kyprianou, A.E. & van Schaik, K., 2005. "Finite expiry Russian options," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 609-638, April.
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KeywordsDiscounted optimal stopping problem; Brownian motion; compound Poisson process; maximum process; integro-differential free-boundary problem; continuous and smooth fit; normal reflection; a change-of-variable formula with local time on surfaces; perpetual lookback American options;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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