Arbeitspapier
Integral options in models with jumps
We present an explicit solution to the formulated in [17] optimal stopping problem for a 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 where the smooth fit may break down and then be replaced by the continuous fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2006,068
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Gapeev, Pavel V.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2006
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Gapeev, Pavel V.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2006
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Models of degenerate random conductances with stable-like jumps
Credit dynamics in a first passage time model with jumps
Integral Options in Models with Jumps
Perpetual Barrier Options in Jump-Diffusion Models
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Contributions to path-dependent stochastic integral equations with jumps
Graphical User Interface for pricing Cryptocurrency Options under the Stochastic Volatility with Correlated Jumps model
Pricing Asian power options under jump-fraction process
Solving models with jump discontinuities in policy functions
Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
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Models of degenerate random conductances with stable-like jumps