Optimal stopping of a killed exponentially growing process

被引：1
|
作者：
Armerin, F. [1 ]
机构：
[1] KTH Royal Inst Technol, Dept Real Estate & Construct Management, SE-10044 Stockholm, Sweden
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2019年 / 353卷
关键词：
Optimal stopping; Poisson process; American option;
D O I：
10.1016/j.amc.2019.02.006
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a finite horizon optimal stopping problem with a gain function equal to the call option's. The value of the underlying process grows exponentially until a Poisson process jumps for the first time, at which the process jumps to zero and stays there forever. As applications of this model we consider valuing real options and options written on the stock of a start-up company. (C) 2019 Elsevier Inc. All rights reserved.
引用
收藏
页码：208 / 214
页数：7
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