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
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 |
|---|---|
| Official URL: | http://www.elsevier.com/wps/find/journaldescriptio... |
| 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 |
| URI: | http://eprints.lse.ac.uk/id/eprint/21942 |
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