The critical price of the American put near maturity in the jump diffusion model (Q2808186)
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scientific article; zbMATH DE number 6583486
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| English | The critical price of the American put near maturity in the jump diffusion model |
scientific article; zbMATH DE number 6583486 |
Statements
20 May 2016
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American put
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Lévy processes
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critical price
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free boundary
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jump diffusion
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convergence rate
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The critical price of the American put near maturity in the jump diffusion model (English)
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0.8719289898872375
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0.8422657251358032
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0.8387193083763123
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0.8282924890518188
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0.8282924890518188
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