The early exercise boundary under the jump to default extended CEV model

DOI10.1007/s00245-018-9496-7zbMath1439.35510OpenAlexW2589072148WikidataQ129973638 ScholiaQ129973638MaRDI QIDQ781553

João Pedro Vidal Nunes, José Carlos Dias, João Pedro Ruas

Publication date: 17 July 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10071/18129

zbMATH Keywords

defaultBessel processesearly exercise boundaryAmerican-style optionsJDCEV model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Local time and additive functionals (60J55) Integro-partial differential equations (35R09)

Related Items (1)

PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION

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