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Gapeev, Pavel V.
Year of Publication: 
Series/Report no.: 
SFB 649 Discussion Paper No. 2006,068
We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the smooth fit may break down and then be replaced by the continuous fit. The result can be interpreted as pricing perpetual integral options in a model with jumps.
Document Type: 
Working Paper

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