Optimal Stopping and Perpetual Options for L Evy Processes Optimal Stopping and Perpetual Options for L Evy Processes
نویسنده
چکیده
Solution to the optimal stopping problem for a L evy process and reward functions (e x ?K) + and (K ?e x) + , discounted at a constant rate is given in terms of the distribution of the overall supremum and innmum of the process killed at this rate. Closed forms of this solutions are obtained under the condition of positive jumps mixed-exponentially distributed. Results are interpreted as admissible pricing of perpetual American call and put options on a stock driven by a L evy process, and a Black-Scholes type formula is obtained.
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Optimal Stopping, Ruin Probabilities and Prophet Inequalities for L Evy Processes
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