Optimal Stopping for a Diffusion with Jumps

Optimal Stopping for a Diffusion with Jumps
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ISBN-10 : OCLC:1291267383
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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.

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