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Autor:innen: 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2006,058
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an integro-differential free-boundary problem and solving the latter by using continuous and smooth fit. The obtained solution of the nontrivial free-boundary problem gives the possibility to observe some special analytic properties of the value function at the optimal stopping boundaries.
Schlagwörter: 
American double barrier options
optimal stopping problem
jump-diffusion model
integro-differential free-boundary problem
continuous and smooth fit
It-Tanaka-Meyer formula
JEL: 
G13
Dokumentart: 
Working Paper

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