The Critical Price of the American Put Near Maturity in the Jump Diffusion Model
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Publication:2808186
DOI10.1137/140965910zbMath1336.60130arXiv1406.6615OpenAlexW1852755622MaRDI QIDQ2808186
Aych I. Bouselmi, Damien Lamberton
Publication date: 20 May 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.6615
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Related Items (2)
Optimal exercise of American put options near maturity: a new economic perspective ⋮ An improvement of an analytical approximation method for American options
Cites Work
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- On optimal stopping and free boundary problems
- Critical price near maturity for an American option on a dividend-paying stock.
- Exercise regions of American options on several assets
- The critical price for the American put in an exponential Lévy model
- A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
- The Smooth-Fit Property in an Exponential Lévy Model
- Optimal stopping, free boundary, and American option in a jump-diffusion model
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