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

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References

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1976On optimal stopping and free boundary problems

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251 cited

Cited by

2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options106 cited
1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model101 cited
2000Incompleteness of markets driven by a mixed diffusion96 cited
2012Optimal stopping under ambiguity in continuous time93 cited
2003Jump-Diffusion Models91 cited
2007Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering83 cited
2005Pricing Path-Dependent Options with Jump Risk via Laplace Transforms74 cited
2010Impulse Control of Multidimensional Jump Diffusions69 cited
2007On American Options Under the Variance Gamma Process58 cited
2008Exchange Options Under Jump-Diffusion Dynamics48 cited
2012Finite-Element Methods46 cited
2002On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts46 cited
2008The critical price for the American put in an exponential Lévy model45 cited
2009On Kolmogorov equations for anisotropic multivariate Lévy processes44 cited
2001Option Pricing with a General Marked Point Process42 cited
2005Exotic options under Lévy models: An overview41 cited