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Optimal stopping and perpetual options for Lévy processes · Study

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ArticleOptimal stopping and perpetual options for Lévy processes

Ernesto Mordecki2002

OA

Articlegreen2002

Optimal stopping and perpetual options for Lévy processes

Ernesto Mordecki

233 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 233 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1997The variation of certain speculative prices 1998Methods of Mathematical Finance 1991Continuous-Time Finance.1998The Variance Gamma Process and Option Pricing 1995Hyperbolic Distributions in Finance

Cited by

2005Some remarks on first passage of Lévy processes, the American put and pasting principles 2002Barrier options and touch-and-out options under regular Lévy processes of exponential type 2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes 2012Exit problems for jump processes with applications to dividend problems 2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options 2008Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms 2009A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes 2006Spectral calibration of exponential Lévy models

Details

Year2002

Typearticle

Published2002-10-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations233

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s007800200070

openalex_workW2147994618

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