2006-09-11Buch DOI: 10.18452/3998
Integral Options in Models with Jumps
We present an explicit solution to the formulated in  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 and then be replaced by the continuous fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.
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