Walter Moreira Russian Options for a Difusion with Negative Jumps Russian Options for a Diffusion with Negative Jumps
نویسنده
چکیده
Closed solutions to the problem of pricing a Russian option when the stock is modeled by a diffusion with negative jumps are obtained. The Russian option is a perpetual American option on the maximum value of the stock. That stock is assumed to have the form of a Wiener process with drift and negative mixed–exponentially distributed jumps driven by a Poisson process. This result generalizes those of Shepp and Shiryaev (1993) for the Wiener process and Gerber, Michaud and Shiu (1995) for pure–jumps process. JEL Classification: G13
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تاریخ انتشار 2001