Exercise boundary of the American put near maturity in an exponential Lévy model
From MaRDI portal
Publication:1945046
DOI10.1007/s00780-012-0194-zzbMath1267.91074arXiv1105.0284MaRDI QIDQ1945046
Mohammed Adam Mikou, Damien Lamberton
Publication date: 2 April 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0284
60G51: Processes with independent increments; Lévy processes
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
American Option Valuation under Continuous-Time Markov Chains, Predicting the last zero before an exponential time of a spectrally negative Lévy process, Exercise boundary of the American put near maturity in an exponential Lévy model, A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Critical price near maturity for an American option on a dividend-paying stock.
- Exercise boundary of the American put near maturity in an exponential Lévy model
- American and European options in multi-factor jump-diffusion models, near expiry
- The critical price for the American put in an exponential Lévy model
- CRITICAL STOCK PRICE NEAR EXPIRATION
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- Financial Modelling with Jump Processes
- The Smooth-Fit Property in an Exponential Lévy Model
- Optimal stopping, free boundary, and American option in a jump-diffusion model