Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
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Publication:3553810
DOI10.1137/080712519zbMath1188.91209arXiv0712.3323OpenAlexW2050306114MaRDI QIDQ3553810
Publication date: 21 April 2010
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0712.3323
boundary value problemintegro-differential equationfree boundaryjump diffusionAmerican put optionmaturity
Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57) Free boundary problems for PDEs (35R35) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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