Regularity of the American put option in the Black-Scholes model with general discrete dividends

DOI10.1016/j.spa.2012.05.009zbMath1246.91132OpenAlexW2052873441MaRDI QIDQ444350

M. Jeunesse, Benjamin Jourdain

Publication date: 14 August 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.05.009

zbMATH Keywords

optimal stoppingAmerican optionsdividendsearly exercise boundarysmooth contact property

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60)

Related Items

Second-order integro-differential parabolic variational inequalities arising from the valuation of American option

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous-time stochastic control and optimization with financial applications
• On optimal stopping and free boundary problems
• Convexity of the optimal stopping boundary for the American put option
• The critical price for the American put in an exponential Lévy model
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• An integral equation for American put options on assets with general dividend processes
• Efficient Pricing of Derivatives on Assets with Discrete Dividends
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
• ON THE AMERICAN OPTION PROBLEM