The critical price for the American put in an exponential Lévy model
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Publication:2271721
DOI10.1007/s00780-008-0073-9zbMath1199.91213OpenAlexW2036802124MaRDI QIDQ2271721
Damien Lamberton, Mohammed Adam Mikou
Publication date: 8 August 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0073-9
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- Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
- Optimal stopping, free boundary, and American option in a jump-diffusion model
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