The early exercise boundary under the jump to default extended CEV model
type: Item
instance of: scholarly article
title: The early exercise boundary under the jump to default extended CEV model
zbMATH Open document ID: 1439.35510
author: João P. Nunes
author: José Carlos Dias
author: João Pedro Ruas
published in: Applied Mathematics and Optimization
publication date: 2020-07-17T00:00:00Z
full work available at URL: http://hdl.handle.net/10071/18129
Mathematics Subject Classification ID: 35R09
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J55
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 7222162
zbMATH Keywords: American-style options
zbMATH Keywords: early exercise boundary
zbMATH Keywords: default
zbMATH Keywords: JDCEV model
zbMATH Keywords: Bessel processes
MaRDI profile type: Publication
OpenAlex ID: W2589072148
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Wikidata QID: Q129973638
DOI: 10.1007/S00245-018-9496-7
description: scientific article; zbMATH DE number 7222162