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

DOI10.1016/j.spa.2012.05.009zbMath1246.91132MaRDI 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 stopping; American options; dividends; early exercise boundary; smooth contact property

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

91A60: Probabilistic games; gambling

Related Items

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

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