Optimal stopping for a diffusion with jumps
نویسنده
چکیده
In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 3 شماره
صفحات -
تاریخ انتشار 1999