| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153931 | Statistics & Probability Letters | 2008 | 9 Pages |
Abstract
We present a closed form solution to be considered in Kramkov and Mordecki [Kramkov, D.O., Mordecki, E., 1994. Integral option. Theory of Probability and its Applications 39 (1), 201–211] optimal stopping problem for the case of 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 and solving the latter by using continuous and smooth fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Pavel V. Gapeev,