On Maximal Inequalities for some Jump 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.
- Ernesto Mordecki, 1999. "Optimal stopping for a diffusion with jumps," Finance and Stochastics, Springer, vol. 3(2), pages 227-236.
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KeywordsJump process; stochastic differential equation; maximum process; optimal stopping problem; compound Poisson process; Ito’s formula; integro-differential free-boundary problem; normal reflection; continuous and smooth fit; maximality principle; maximal inequalities;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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