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Optimal stopping for a diffusion with jumps

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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.

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Authors and Affiliations

  1. Centro de Matemática, Eduardo Acevedo 1139, C.P. 11200, Montevideo, Uruguay (e-mail: mordecki@cmat.edu.uy) , , , , , , UY

    Ernesto Mordecki

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  1. Ernesto Mordecki
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Manuscript received: March 1997; final version received: April 1998

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Mordecki, E. Optimal stopping for a diffusion with jumps. Finance Stochast 3, 227–236 (1999). https://doi.org/10.1007/s007800050060

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  • DOI: https://doi.org/10.1007/s007800050060

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