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dc.contributor.authorAase, Knut K.
dc.date.accessioned2015-09-09T10:46:59Z
dc.date.accessioned2015-09-10T10:06:52Z
dc.date.available2015-09-09T10:46:59Z
dc.date.available2015-09-10T10:06:52Z
dc.date.issued2010
dc.identifier.citationEnergy Systems 2010:493-507nb_NO
dc.identifier.issn1867-9005
dc.identifier.urihttp://hdl.handle.net/11250/299313
dc.description-This is the author's version of the article"The Perpetual American Put Option for Jump-Diffusions" Energy Systems pp 493-507.nb_NO
dc.description.abstractWe solve a specific optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. The novelty of the paper is related to the inclusion of a jump component in this stochastic process. Under certain conditions, our solution can be interpreted as the price of an American perpetual put option. We characterize the continuation region when the underlying asset follows this type of stochastic process. Our basic solution is exact only when jump sizes cannot be negative. A methodology to deal with negative jump sizes is also demonstrated. Energy, Natural Resources and Environmental Economics Energy, Natural Resources and Environmental Economics Looknb_NO
dc.language.isoengnb_NO
dc.publisherSpringer Linknb_NO
dc.titleThe Perpetual American Put Option for Jump-Diffusionsnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewed
dc.date.updated2015-09-09T10:46:59Z
dc.source.pagenumber493-507nb_NO
dc.source.journalEnergy Systemsnb_NO
dc.source.issue2010nb_NO
dc.identifier.doi10.1007/978-3-642-12067-1_28
dc.identifier.cristin932121


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