Perpetual Barrier Options in Jump-Diffusion Models

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poissonprocess with exponential jumps. The method of proof is based on reducing the initialirregular optimal stopping problem to an integro-differential free-boundary problemand solving the latter by using continuous and smooth fit...

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Authors:	Gapeev, Pavel V.
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Optionspreistheorie \| Barrier options

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Extent:	604160 bytes 24 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-058
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; 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/10005854967