Integral options in models with jumps

We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the smooth fit may break down and then be replaced by the continuous fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.

MoreLess

Year of publication:	2006
Authors:	Gapeev, Pavel V.
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	SFB 649 Discussion Paper ; 2006-068
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	518457567 [GVK] hdl:10419/25151 [Handle] RePEc:zbw:sfb649:sfb649dp2006-068 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263656