Free boundary and American options in a jump-diffusion model
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Publication:3421522
DOI10.1017/S0956792505006340zbMath1160.91364OpenAlexW2156263435MaRDI QIDQ3421522
Chengrong Yang, Baojun Bian, Li-Shang Jiang
Publication date: 7 February 2007
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792505006340
regularityexistenceuniquenessfree-boundary problemBrownian motion with drift plus compound Poisson processlog-price
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