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The integral option in a model with jumps

Gapeev, Pavel V. (2008) The integral option in a model with jumps. Statistics and Probability Letters, 78 (16). pp. 2623-2631. ISSN 0167-7152

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Identification Number: 10.1016/j.spl.2008.02.028


We present a closed form solution to be considered in Kramkov and Mordecki [Kramkov, D.O., Mordecki, E., 1994. Integral option. Theory of Probability and its Applications 39 (1), 201–211] optimal stopping problem for the case of 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 and solving the latter by using continuous and smooth fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.

Item Type: Article
Official URL:
Additional Information: © 2008 Elsevier
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Date Deposited: 19 Jan 2009 12:08
Last Modified: 04 Jan 2024 23:36

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