Gapeev, Pavel V. - In: Statistics & Probability Letters 78 (2008) 16, pp. 2623-2631
We present a closed form solution to be considered in Kramkov and Mordecki [Kramkov, D.O., Mordecki, E., 1994. Integral option. Theory of Probability and its Applications 39 (1), 201-211] optimal stopping problem for the case of geometric compound Poisson process with exponential jumps. The...