A canonical optimal stopping problem for American options under a double exponential jump-diffusion model-Reference-Cited by-同舟云学术

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

Published:2007-09 Issue:1 Volume:10 Page:85-100
ISSN:1465-1211
Container-title:The Journal of Risk
language:
Short-container-title:JOR

Author:

AitSahlia Farid,Runnemo Andreas

Publisher

Infopro Digital Services Limited

Subject

Strategy and Management,Finance

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option-Implied Intrahorizon Value at Risk;Management Science;2020-01

2. Option-Implied Intra-Horizon Value-at-Risk;SSRN Electronic Journal;2017

3. European Option Pricing under Jump Diffusion with Proportional Transaction Costs;SSRN Electronic Journal;2012

4. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions;Mathematical Methods of Operations Research;2009-01-06

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