Double continuation regions for American options under Poisson exercise opportunities-Reference-Cited by-同舟云学术

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Double continuation regions for American options under Poisson exercise opportunities

Published:2021-03-15 Issue:2 Volume:31 Page:722-771
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Palmowski Zbigniew¹^ORCID,Pérez José Luis²,Yamazaki Kazutoshi³

Affiliation:

1. Faculty of Pure and Applied Mathematics Wrocław University of Science and Technology Wrocław Poland

2. Department of Probability and Statistics Centro de Investigación en Matemáticas Guanajuato Mexico

3. Department of Mathematics, Faculty of Engineering Science Kansai University Osaka Japan

Funder

Narodowe Centrum Nauki

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12301

Reference51 articles.

1. Exit identities for Lévy processes observed at Poisson arrival times

2. Some remarks on first passage of Lévy processes, the American put and pasting principles

3. Russian and American put options under exponential phase-type Lévy models

4. On optimal periodic dividend strategies in the dual model with diffusion

5. On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency

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1. Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities;Mathematics of Operations Research;2024-07-29

2. Solutions for Poissonian stopping problems of linear diffusions via extremal processes;Stochastic Processes and their Applications;2024-06

3. Lévy Bandits Under Poissonian Decision Times;MATRIX Book Series;2024

4. Limit equations of adaptive Erlangization and their application to environmental management;Computers & Mathematics with Applications;2023-09

5. Optimal Stopping for Exponential Lévy Models with Weighted Discounting;SIAM Journal on Financial Mathematics;2023-07-13

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