Analysis of the optimal exercise boundary of American options for jump diffusions (Q3553810)
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scientific article; zbMATH DE number 5696722
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| English | Analysis of the optimal exercise boundary of American options for jump diffusions |
scientific article; zbMATH DE number 5696722 |
Statements
Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions (English)
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21 April 2010
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American put option
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jump diffusion
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boundary value problem
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free boundary
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maturity
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integro-differential equation
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0.8519856929779053
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0.8408474922180176
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0.839888870716095
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0.839888870716095
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0.8251846432685852
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