References
- Asmussen, S., and H. Albrecher. 2010. Ruin Probabilities. 2nd ed. Singapore: World Scientific.
- Asmussen, S., F. Avram, and M. Pistorius. 2004. “Russian and American Put Options under Exponential Phase-Type Lévy Models.” Stochastic Processes and Their Applications 109: 79–111. doi:10.1016/j.spa.2003.07.005.
- Brenner, M., E. Ou, and J. Zhang. 2006. “Hedging Volatility Risk.” Journal of Banking & Finance 30 (3): 811–821. doi:10.1016/j.jbankfin.2005.07.015.
- Chiarella, C., and B. Kang. 2013. “The Evaluation of American Compound Option Prices under Stochastic Volatility and Stochastic Interest Rate.” Journal of Computational Finance 17: 71–92.
- Gapeev, P. V., and N. Rodosthenous. 2014. On the Pricing of Perpetual American Compound Options, Inspired by Finance, 283–303. New York: Springer.
- Geske, R. 1977. “The Valuation of Corporate Liabilities as Compound Options.” The Journal of Financial and Quantitative Analysis 12: 541–552. doi:10.2307/2330330.
- Geske, R. 1979. “The Valuation of Compound Options.” Journal of Financial Economics 7: 63–81. doi:10.1016/0304-405X(79)90022-9.
- Lewis, A., and E. Mordecki. 2008. “Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms.” Journal of Applied Probability 45: 118–134. doi:10.1239/jap/1208358956.
- Mordecki, E. 2002. “Optimal Stopping and Perpetual Options for Lévy Processes.” Finance and Stochastics 6: 473–493. doi:10.1007/s007800200070.
- Peskir, G., and A. Shiryaev. 2006. Optimal Stopping and Free-Boundary Problems. Basel: Birkhauser Verlag.
- Sheu, Y.-C., and M.-Y. Tsai. 2012. “On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes.” Journal of Applied Probability 49: 531–548. doi:10.1239/jap/1339878803.
- Surya, B. A. 2007. “An Approach for Solving Perpetual Optimal Stopping Problems Driven by Lévy Processes.” Stochastic 79: 337–361.