On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/120903336
Reference20 articles.
1. Study of a filtration expanded to include an honest time
2. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
3. Adaptive Poisson disorder problem
4. Optimal stopping for dynamic convex risk measures
5. Exponential Hedging and Entropic Penalties
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