Optimal stopping and perpetual options for Lévy processes
E Mordecki - Finance and Stochastics, 2002 - Springer
Consider a model of a financial market with a stock driven by a Lévy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
Optimal stopping and perpetual options for Levy processes
E Mordecki - Finance and Stochastics, 2002 - elibrary.ru
Consider a model of a financial market with a stock driven by a Levy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
[引用][C] Optimal stopping and perpetual options for Lévy processes
E Mordecki - Finance and Stochastics, 2002 - cir.nii.ac.jp
Optimal stopping and perpetual options for Lévy processes | CiNii Research CiNii 国立情報学
研究所 学術情報ナビゲータ[サイニィ] 詳細へ移動 検索フォームへ移動 論文・データをさがす 大学 …
研究所 学術情報ナビゲータ[サイニィ] 詳細へ移動 検索フォームへ移動 論文・データをさがす 大学 …
Optimal stopping and perpetual options for Lévy processes.
E Mordecki - Finance & Stochastics, 2002 - search.ebscohost.com
Consider a model of a financial market with a stock driven by a Lévy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
Optimal stopping and perpetual options for Lvy processes
E Mordecki - Finance and Stochastics, 2002 - infona.pl
Consider a model of a financial market with a stock driven by a Lvy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
[PDF][PDF] Optimal Stopping and Perpetual Options for Lévy processes
E Mordecki, M Uruguay - Citeseer
Consider a model of a financial market with a stock driven by a Lévy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
Optimal Stopping and Perpetual Options for Levy Processes
E Mordecki - Available at SSRN 231173, 2000 - papers.ssrn.com
Solution to the optimal stopping problem for a Levy process and reward functions max (exp
(x)-K, 0) and max (K-exp (x), 0), discounted at a constant rate is given in terms of the …
(x)-K, 0) and max (K-exp (x), 0), discounted at a constant rate is given in terms of the …
Optimal stopping and perpetual options for Lévy processes
E Mordecki - Finance and Stochastics, 2002 - econpapers.repec.org
Consider a model of a financial market with a stock driven by a Lévy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
[PDF][PDF] Optimal stopping and perpetual options for Lévy processes
E Mordecki - researchgate.net
Consider a model of a financial market with a stock driven by a Lévy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …
Optimal stopping and perpetual options for Lévy processes
E Mordecki - Finance and Stochastics, 2002 - ideas.repec.org
Consider a model of a financial market with a stock driven by a Lévy process and constant
interest rate. A closed formula for prices of perpetual American call options in terms of the …
interest rate. A closed formula for prices of perpetual American call options in terms of the …