The Library
Some remarks on first passage of Lévy processes, the American put and pasting principles
Tools
Tools
Tools
Alili, Larbi and Kyprianou, A. E. (2005) Some remarks on first passage of Lévy processes, the American put and pasting principles. The Annals of Applied Probability, Volume 15 (Number 3). pp. 2062-2080. doi:10.1214/105051605000000377 ISSN 1050-5164.
|
PDF
WRAP_Alili_euclid.aoap.1121433777.pdf - Published Version - Requires a PDF viewer. Download (231Kb) | Preview |
Official URL: http://dx.doi.org/10.1214/105051605000000377
Abstract
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Lévy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195–220], Boyarchenko and Levendorskii [Working paper series EERS 98/02 (1998), Unpublished manuscript (1999), SIAM J. Control Optim. 40 (2002) 1663–1696], Chan [Original unpublished manuscript (2000)], Avram, Chan and Usabel [Stochastic Process. Appl. 100 (2002) 75–107], Mordecki [Finance Stoch. 6 (2002) 473–493], Asmussen, Avram and Pistorius [Stochastic Process. Appl. 109 (2004) 79–111] and Chesney and Jeanblanc [Appl. Math. Fin. 11 (2004) 207–225] to the American perpetual put optimal stopping problem. Furthermore, we make folklore precise and give necessary and sufficient conditions for smooth pasting to occur in the considered problem.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
| Library of Congress Subject Headings (LCSH): | Optimal stopping (Mathematical statistics) , Options (Finance) -- Mathematical models, Lévy processes | ||||
| Journal or Publication Title: | The Annals of Applied Probability | ||||
| Publisher: | Institute of Mathematical Statistics | ||||
| ISSN: | 1050-5164 | ||||
| Official Date: | 2005 | ||||
| Dates: |
|
||||
| Volume: | Volume 15 | ||||
| Number: | Number 3 | ||||
| Number of Pages: | 18 | ||||
| Page Range: | pp. 2062-2080 | ||||
| DOI: | 10.1214/105051605000000377 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Date of first compliant deposit: | 28 December 2015 | ||||
| Date of first compliant Open Access: | 28 December 2015 |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
