2 papers
math.PR2012
On the Impulse Control of Jump Diffusions
Erhan Bayraktar, Thomas Emmerling, Jose-Luis Menaldi
Regularity of the impulse control problem for a non-degenerate -dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo,…
q-fin.PR2010
Perpetual Cancellable American Call Option
Thomas J. Emmerling
This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract…