The integral option in a model with jumps

被引：4
|
作者：
Gapeev, Pavel V. [1 ]
机构：
[1] London Sch Econ, Dept Math, London WC2A 2AE, England
来源：
STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 16期
关键词：
D O I：
10.1016/j.spl.2008.02.028
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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 method of proof is based on reducing the initial problem to an integro-differential free-boundary problem and solving the latter by Using continuous and smooth fit. The result call be interpreted as pricing perpetual integral options ill a model with jumps. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：2623 / 2631
页数：9
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