Double Exponential Jump Diffusion Processes and Its Application to Real Options
Double Exponential Jump Diffusion Processes and Its Application to Real Options
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发表时间：
2009
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通讯作者：
Atsuo Suzuki;K. Sawaki
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作者：
Atsuo Suzuki;K. Sawaki
本文考虑双指数跳扩散过程的最优停止问题.在此基础上，我们给出了延期期权的价值函数及其最优边界。数值结果也证明了值函数对参数的解析灵敏度。
In this paper, we consider optimal stopping problem for double exponential jump dif- fusion processes. Moreover, we derive the value function of the option to postpone and its optimal boundary. Also some numerical results are presented to demonstrate analytical sensitives of the value function with respect to parameters.