Exercise boundary of the American put near maturity in an exponential Lévy model
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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
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