Double Exponential Jump Diffusion Processes and Its Application to Real Options
نویسندگان
چکیده
In this paper, we consider optimal stopping problem for double exponential jump diffusion processes. Moreover, we derive the value function of the option to postpone and its optimal boundary. Also some numerical results are presented to demonstrate analytical sensitives of the value function with respect to parameters.
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تاریخ انتشار 2009