Optimal stopping for a diffusion with jumps

Ernesto Mordecki ()
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Ernesto Mordecki: Centro de MatemÂtica, Eduardo Acevedo 1139, C.P. 11200, Montevideo, Uruguay Manuscript

Finance and Stochastics, 1999, vol. 3, issue 2, 227-236

Abstract: In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.

Keywords: Diffusion with jumps; optimal stopping; American options; derivative pricing (search for similar items in EconPapers)
Date: 1999-01-29
Note: received: March 1997; final version received: April 1998
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Citations: View citations in EconPapers (21)

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