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Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model · Study

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ArticleOptimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model

Huyên Pham1997

Article1997

Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model

189 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1979Calcul Stochastique et Problèmes de Martingales 1988On Jump Processes in the Foreign Exchange and Stock Markets

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2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options 1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model 2000Incompleteness of markets driven by a mixed diffusion 2012Optimal stopping under ambiguity in continuous time 2003Jump-Diffusion Models 2007Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering

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Year1997

Typearticle

Published1997-03-01

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations189

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf02683325

openalex_workW2023142000

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2005

Pricing Path-Dependent Options with Jump Risk via Laplace Transforms

2010Impulse Control of Multidimensional Jump Diffusions