Optimal stopping for a diffusion with jumps

In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.

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Year of publication:	1999-01-29
Authors:	Mordecki, Ernesto
Published in:	Finance and Stochastics. - Springer. - Vol. 3.1999, 2, p. 227-236
Publisher:	Springer
Subject:	Diffusion with jumps \| optimal stopping \| American options \| derivative pricing

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: March 1997; final version received: April 1998
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005613389