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

Identification Number: 10.1016/j.spl.2008.02.028

## Abstract

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 |
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Official URL: | http://www.elsevier.com/wps/find/journaldescriptio... |

Additional Information: | © 2008 Elsevier |

Divisions: | Mathematics |

Subjects: | Q Science > QA Mathematics |

Sets: | Departments > Mathematics |

Date Deposited: | 19 Jan 2009 12:08 |

Last Modified: | 20 Jan 2020 03:38 |

URI: | http://eprints.lse.ac.uk/id/eprint/21942 |

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