We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial irregular optimal stopping problem to an...

We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth fit may break down and the latter then be...

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...