Onat, Ayşegül2016-01-082016-01-082014http://hdl.handle.net/11693/16902Cataloged from PDF version of article.Includes bibliographical references leaves 53-54.A stock price Xt evolves according to jump diffusion process with certain parameters. An asset manager who holds a strangle option on that stock, wants to maximize his/her expected payoff over the infinite time horizon. We derive an optimal exercise rule for asset manager when the underlying stock is dividend paying and non-dividend paying. We conclude that optimal stopping strategy changes according to stock’s dividend rate. We also illustrate the solution on numerical examples.x, 66 leaves, chartsEnglishinfo:eu-repo/semantics/openAccessOptimal stoppingperpetualstrangle optionMarkov jump diffusion processesQA274.75 .O53 2014Markov processes.Diffusion processes.Optimal stopping (Mathematical statistics)Pricing perpetual American-type strangle option for merton's jump diffusion processThesis