ON OPTIMAL STOPPING PROBLEMS FOR MATRIX-EXPONENTIAL JUMP-DIFFUSION PROCESSES

被引：7

作者：

Sheu, Yuan-Chung ^{[1
]}

Tsai, Ming-Yao ^{[1
]}

机构：

[1] Natl Chiao Tung Univ, Dept Appl Math, Hsinchu, Taiwan

来源：

JOURNAL OF APPLIED PROBABILITY | 2012年 / 49卷 / 02期

关键词：

Optimal stopping problem; American call-type reward function; averaging problem; matrix-exponential distribution; jump-diffusion process; LEVY PROCESSES; AMERICAN; OPTIONS;

D O I：

10.1017/S0021900200009256

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class, following the averaging problem approach (see, for example, Alili and Kyprianou (2005), Kyprianou and Surya (2005), Novikov and Shiryaev (2007), and Surya (2007)), we give an explicit formula for solutions of the corresponding averaging problem. Based on this explicit formula, we obtain the optimal level and the value function for American call-type optimal stopping problems.

引用

页码：531 / 548

页数：18

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