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Optimal stopping for a diffusion with jumps

Author

Listed:
  • Ernesto Mordecki

    (Centro de MatemÂtica, Eduardo Acevedo 1139, C.P. 11200, Montevideo, Uruguay Manuscript)

Abstract

In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.

Suggested Citation

  • Ernesto Mordecki, 1999. "Optimal stopping for a diffusion with jumps," Finance and Stochastics, Springer, vol. 3(2), pages 227-236.
    • Handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:227-236
    Note: received: March 1997; final version received: April 1998
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    Citations

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    Cited by:

    1. Gapeev, Pavel V., 2006. "Discounted optimal stopping for maxima of some jump-diffusion processes," SFB 649 Discussion Papers 2006-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
    3. Ming-Chi Chang & Yuan-Chung Sheu, 2013. "Free boundary problems and perpetual American strangles," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1149-1155, July.
    4. 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.
    5. Jean-Paul Décamps & Thomas Mariotti & Stéphane Villeneuve, 2005. "Investment Timing Under Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 472-500, May.
    6. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, July.
    7. Gapeev, Pavel V., 2006. "Integral options in models with jumps," SFB 649 Discussion Papers 2006-068, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Gapeev Pavel V. & Kühn Christoph, 2005. "Perpetual convertible bonds in jump-diffusion models," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 15-31, January.
    9. Gapeev, Pavel V., 2005. "The disorder problem for compound Poisson processes with exponential jumps," LSE Research Online Documents on Economics 3219, London School of Economics and Political Science, LSE Library.
    10. Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
    11. 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.
    12. Gapeev Pavel V. & Rodosthenous Neofytos, 2013. "Perpetual American options in a diffusion model with piecewise-linear coefficients," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 1-21, March.
    13. repec:hum:wpaper:sfb649dp2006-068 is not listed on IDEAS
    14. Gapeev, Pavel V., 2006. "On maximal inequalities for some jump processes," SFB 649 Discussion Papers 2006-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Barrieu, Pauline & Bellamy, N., 2007. "Optimal hitting time and perpetual option in a non-Lévy model: application to real options," LSE Research Online Documents on Economics 5099, London School of Economics and Political Science, LSE Library.
    16. repec:hum:wpaper:sfb649dp2006-060 is not listed on IDEAS
    17. Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000. "Investment Timing under Incomplete Information," IDEI Working Papers 115, Institut d'Économie Industrielle (IDEI), Toulouse, revised Apr 2004.
    18. 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.
    19. Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
    20. Kleinert, Florian & van Schaik, Kees, 2015. "A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3234-3254.

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