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American double barrier options
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continuous and smooth fit
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integro-differential free-boundary problem
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jump-diffusion model
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optimal stopping problem
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It^o-Tanaka-Meyer formula
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Gapeev, Pavel V.
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Perpetual barrier options in jump-diffusion models
Gapeev, Pavel V.
-
2006
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...
Persistent link: https://www.econbiz.de/10010263649
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Perpetual Barrier Options in Jump-Diffusion Models
Gapeev, Pavel V.
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
:
American
double
barrier
options
, optimal stopping problem, jump-difiusion model, integro-difierential free-boundary problem …
Persistent link: https://www.econbiz.de/10005784840
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