On the perpetual American put options for level dependent volatility models with jumps
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Publication:3169212
DOI10.1080/14697680903170817zbMath1235.91160arXivmath/0703538MaRDI QIDQ3169212
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703538
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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