Integral Options in Models with Jumps

We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the smooth fit may break down and then be replaced by the continuous fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.

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Year of publication:	2006-09-11
Authors:	Gapeev, Pavel V.
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Option \| Poisson-Prozess

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Extent:	454656 bytes 18 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2006-068
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005861270