Optimal Stopping for a Diffusion with Jumps
Author | : Ernesto Mordecki |
Publisher | : |
Total Pages | : |
Release | : 1999 |
ISBN-10 | : OCLC:1291267383 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Book Synopsis Optimal Stopping for a Diffusion with Jumps by : Ernesto Mordecki
Download or read book Optimal Stopping for a Diffusion with Jumps written by Ernesto Mordecki and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.