Perpetual american options under lévy processes

SIAM Journal on Control and Optimization

Volumn 40, Issue 6, 2002, Pages 1663-1696

  Boyarchenko, S I ^a   Levendorskii S Z ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b ROSTOV STATE UNIVERSITY OF ECONOMICS   (Russian Federation)

Author keywords

L vy processes; Perpetual American options; Wiener Hopf factorization

Indexed keywords

BOUNDARY CONDITIONS; INVERSE PROBLEMS; POISSON DISTRIBUTION; RANDOM PROCESSES; SET THEORY;

EQUIVALENT MARTINGALE MEASURE; HYPERBOLIC PROCESSES; INVERSE GAUSSIAN PROCESSES; LEVY PROCESSES; PERPETUAL AMERICAN OPTIONS; WIENER-HOPF FACTORIZATION;

INVENTORY CONTROL;

EID: 0036920132     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900373987     Document Type: Article

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