The critical price for the American put in an exponential Lévy model (Q2271721)

The purpose of this paper is to clarify the basic properties of the early exercise boundary of the American put on a dividend paying stock in general exponential Lévy models. To this end, the price of the American option is characterized as the unique solution of a variational inequality in the sense of distributions. This enables to recover the results of \textit{S.~Z.~Levendorskiĭ} [Int. J. Theor. Appl. Finance 7, No. 3, 303--335 (2004; Zbl 1107.91050)] and to prove the continuity of the early exercise boundary. The assumptions on the Lévy measure are less stringent than in previous papers devoted to this problem.