169
Views
6
CrossRef citations to date
0
Altmetric
Feature

On the perpetual American put options for level dependent volatility models with jumps

Pages 335-341 | Received 05 Dec 2008, Accepted 07 Jul 2009, Published online: 16 Dec 2009

References

  • Alfonsi , A and Jourdain , B . 2006 . A call–put duality for perpetual American options , Available online at: http://arxiv.org
  • Alili , L and Kyprianou , AE . 2005 . Some remarks on first passage of Lévy processes, the American put and pasting principles . Ann. Appl. Probab. , 15 : 2062 – 2080 .
  • Alvarez , LHR . 2001 . Solving optimal stopping problems of linear diffusions by applying convolution approximations . Math. Methods Oper. Res. , 53 : 89 – 99 .
  • Alvarez , LHR . 2004 . A class of solvable impulse control problems . Appl. Math. Optim. , 49 : 265 – 295 .
  • Bayraktar , E and Sezer , S . 2009 . Online change detection for a Poisson process with a phase-type change-time prior distribution . Sequent. Anal. , 28 : 218 – 250 .
  • Bayraktar , E , Dayanik , S and Karatzas , I . 2006 . Adaptive Poisson disorder problem . Ann. Appl. Probab. , 16 : 1190 – 1261 .
  • Borodin , AN and Salminen , P . 2002 . Handbook of Brownian Motion—Facts and Formulae, , 2nd , Basel : Birkhäuser .
  • Carr , P . 1998 . Randomization and the American put . Rev. Financial Stud. , 11 : 597 – 626 .
  • Dayanik , S , Poor , HV and Sezer , SO . 2008 . Multisource Bayesian sequential change detection . Ann. Appl. Probab. , 18 : 552 – 590 .
  • Ekström , E . 2003 . Perpetual American put options in a level-dependent volatility model . J. Appl. Probab. , 40 : 783 – 789 .
  • El Karoui , N , Jeanblanc-Picqué , M and Shreve , SE . 1998 . Robustness of the Black and Scholes formula . Math. Finance , 8 : 93 – 126 .
  • Garroni , MG and Menaldi , JL . 1993 . Green Functions for Second Order Parabolic Integro-Differential Problems , New York : Longman .
  • Hobson , DG . 1998 . Volatility misspecification, option pricing and superreplication via coupling . Ann. Appl. Probab. , 8 : 193 – 205 .
  • Karatzas , I and Shreve , SE . 1991 . Brownian Motion and Stochastic Calculus, Graduate Texts in Mathematics, , 2nd , Vol. 113 , New York : Springer .
  • Karlin , S and Taylor , HM . 1981 . A Second Course in Stochastic Processes , Orlando, FL : Academic Press .
  • Mordecki , E . 2002 . Optimal stopping and perpetual options for Lévy Processes . Finance Stochast. , 6 : 473 – 493 .
  • Mordecki , E and Salminen , P . 2007 . Optimal stopping of Hunt and Lévy processes . Stochastics , 79 : 233 – 251 .
  • Protter , PE . 2005 . Stochastic Integration and Differential Equations. Version 2.1, Stochastic Modelling and Applied Probability, , 2nd , Vol. 21 , Berlin : Springer .
  • Villeneuve , S . 2007 . On threshold strategies and the smooth-fit principle for optimal stopping problems . J. Appl. Probab. , 44 : 181 – 198 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.