Perpetual barrier options in jump-diffusion models
Work
Year: 2007
Type: article
Abstract: We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method ... more
Source: Stochastics
Author Pavel V. Gapeev
Institution V. A. Trapeznikov Institute of Control Sciences
Cites: 29
Cited by: 5
Related to: 10
FWCI: 0.929
Citation percentile (by year/subfield): 63.87
Subfield: Finance
Domain: Social Sciences
Open Access status: green