Gapeev, Pavel V. (2008) The integral option in a model with jumps. Statistics and probability letters, 78 (16). pp. 2623-2631. ISSN 0167-7152
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.
|Additional Information:||© 2008 Elsevier|
|Library of Congress subject classification:||Q Science > QA Mathematics|
|Sets:||Departments > Mathematics|
|Date Deposited:||19 Jan 2009 12:08|
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