Perpetual Barrier Options in Jump-Diffusion Models
dc.contributor.author | Gapeev, Pavel V. | |
dc.date.accessioned | 2017-06-15T23:14:23Z | |
dc.date.available | 2017-06-15T23:14:23Z | |
dc.date.created | 2006-09-20 | |
dc.date.issued | 2006-09-11 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4640 | |
dc.description.abstract | We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial irregular optimal stopping problem to an integro-differential free-boundary problem and solving the latter by using continuous and smooth fit. The obtained solution of the nontrivial free-boundary problem gives the possibility to observe some special analytic properties of the value function at the optimal stopping boundaries. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | American double barrier options | eng |
dc.subject | optimal stopping problem | eng |
dc.subject | jump-diffusion model | eng |
dc.subject | integro-differential free-boundary problem | eng |
dc.subject | continuous and smooth fit | eng |
dc.subject | Ito-Tanaka-Meyer formula | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Perpetual Barrier Options in Jump-Diffusion Models | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-10068383 | |
dc.identifier.doi | http://dx.doi.org/10.18452/3988 | |
dc.subject.dnb | 17 Wirtschaft | |
local.edoc.pages | 24 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2006 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2006,58 |