Perpetual barrier options in jump-diffusion models
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More about this item
Keywords
American double barrier options; optimal stopping problem; jump-diffusion model; integro-differential free-boundary problem; continuous and smooth fit; It^o-Tanaka-Meyer formula;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-09-23 (Finance)
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