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Pricing Perpetual Options for Jump Processes

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References

1973Theory of Rational Option Pricing8,060 cited
2004Insurance: Mathematics and Economics1,308 cited
1998On the Time Value of Ruin786 cited
2011Introduction to Stochastic Calculus Applied to Finance639 cited
1996Actuarial bridges to dynamic hedging and option pricing189 cited
1998On the discounted penalty at ruin in a jump-diffusion and the perpetual put option180 cited
1994Martingale Approach to Pricing Perpetual American Options111 cited
1996MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS77 cited

Cited by

2009On a generalization of the Gerber–Shiu function to path-dependent penalties68 cited
2009On the expectation of total discounted operating costs up to default and its applications61 cited
1999From ruin theory to pricing reset guarantees and perpetual put options52 cited
2007Optimal stopping of Hunt and Lévy processes47 cited
2002On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts46 cited
2001Dynamic Fund Protection37 cited

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