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The American put option value for different intensities of exponential distribution. Parameters: σ = 0.2, ρ = 7.5, µ = 0.06, q = −0.01.

The American put option value for different intensities of exponential distribution. Parameters: σ = 0.2, ρ = 7.5, µ = 0.06, q = −0.01.

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Figure 3. The Laplace transform ψ(φ) (left) and solutions of ψ(φ) = q...
Figure 4. The American put option value for different discounting...
Figure 5. The American put option value for different intensities of...
Figure 6. The American put option value for different intensities of...
Figure 7. The American put option value for spectrally asymmetric...
Double continuation regions for American and Swing options with negative discount rate in L\'evy models
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  • Dec 2017
In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this...
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Context 1
... understand the impact of jumps on the value function and on the stopping region we compare various intensities of exponential distribution ρ and various intensities of arrival rate λ, leaving fixed the other parameters, in Figure 5 and Figure 6, respectively. Note that the increase in ρ corresponds to a decrease in the average sizes of the jumps, which, we recall, are downward jumps. ...
Context 2
... understand the impact of jumps on the value function and on the stopping region we compare various intensities of exponential distribution ρ and various intensities of arrival rate λ, leaving fixed the other parameters, in Figure 5 and Figure 6, respectively. Note that the increase in ρ corresponds to a decrease in the average sizes of the jumps, which, we recall, are downward jumps. ...