The American put option in a one-dimensional diffusion model with level-dependent volatility
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Publication:3429331
DOI10.1080/17442500600779663zbMATH Open1284.91537OpenAlexW2018368929MaRDI QIDQ3429331FDOQ3429331
Authors:
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500600779663
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Cites Work
- Optimal Stopping and the American Put
- Title not available (Why is that?)
- The pricing of the American option
- Properties of American option prices
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- On optimal stopping and free boundary problems
- Volatility time and properties of option prices
- Semimartingale Inequalities for The Snell Envelopes
- ON THE AMERICAN OPTION PROBLEM
- Local times, optimal stopping and semimartingales
Cited In (5)
- Perpetual American put options in a level-dependent volatility model
- Portfolios of American options under general preferences: results and counterexamples
- Semimartingale local time and the American put option
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- Continuity estimates with respect to volatility for the American foreign exchange option
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