Integral Options in Models with Jumps
Year of publication: |
2006-09
|
---|---|
Authors: | Gapeev, Pavel V. |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Jump process | stochastic differential equation | optimal stopping problem | integral American option | compound Poisson process | Shiryaev´s process | Girsanov´s theorem | Ito´s formula | integrodifferential free-boundary problem | smooth and continuous fit | hypergeometric functions |
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