The integral option in a model with jumps
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References listed on IDEAS
- Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493.
- S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
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- L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487, arXiv.org.
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Cited by:
- Gapeev, Pavel V. & Stoev, Yavor I., 2017. "On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 152-162.
- Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," LSE Research Online Documents on Economics 105849, London School of Economics and Political Science, LSE Library.
- Kyprianou, Andreas E. & Pardo, Juan Carlos, 2012. "An optimal stopping problem for fragmentation processes," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1210-1225.
- Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," Statistics & Probability Letters, Elsevier, vol. 167(C).
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