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

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...

We study the perpetual American call option pricing problem in a model of a financial market in which the firm issuing a traded asset can regulate the dividend rate by switching it between two constant values. The firm dividend policy is unknown for small investors, who can only observe the...