A proof of the smoothness of the finite time horizon American put option for jump diffusions (Q3557935)
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scientific article; zbMATH DE number 5702446
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| English | A proof of the smoothness of the finite time horizon American put option for jump diffusions |
scientific article; zbMATH DE number 5702446 |
Statements
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions (English)
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28 April 2010
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optimal stopping
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Markov processes
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jump diffusions
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American options
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integro-differential equations
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parabolic free boundary equations
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0.8278247117996216
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0.8278247117996216
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0.817996084690094
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0.8128562569618225
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0.8117825388908386
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