Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions

DOI10.1137/080712519zbMath1188.91209arXiv0712.3323OpenAlexW2050306114MaRDI QIDQ3553810

Hao Xing, Erhan Bayraktar

Publication date: 21 April 2010

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3323

zbMATH Keywords

boundary value problemintegro-differential equationfree boundaryjump diffusionAmerican put optionmaturity

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57) Free boundary problems for PDEs (35R35) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ ESO Valuation with Job Termination Risk and Jumps in Stock Price ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Hybrid Laplace transform and finite difference methods for pricing American options under complex models ⋮ Regularity of the American put option in the Black-Scholes model with general discrete dividends ⋮ NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET ⋮ An optimal stopping problem in a diffusion-type model with delay ⋮ Free boundary and retirement benefits pricing in a jump-diffusion model ⋮ Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

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