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Perpetual American options in diffusion-type models with running maxima and drawdowns

  • Published:2016-07 Issue:7 Volume:126 Page:2038-2061
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Gapeev Pavel V.,Rodosthenous Neofytos

Funder

Suntory and Toyota International Centres for Economics

Related Disciplines (STICERD) at the London School of Economics and Political Science

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference39 articles.

1. Russian and American put options under exponential phase-type Lévy models;Asmussen;Stochastic Process. Appl.,2003

2. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options;Avram;Ann. Appl. Probab.,2004

3. The Shepp–Shiryaev stochastic game driven by a spectrally negative Lévy process;Baurdoux;Theory Probab. Appl.,2009

4. The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process;Baurdoux;Stochastic Process. Appl.,2011

5. American-Style Derivatives: Valuation and Computation;Detemple,2006

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