Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
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Publication:3553810
DOI10.1137/080712519zbMath1188.91209arXiv0712.3323MaRDI QIDQ3553810
Publication date: 21 April 2010
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0712.3323
boundary value problem; integro-differential equation; free boundary; jump diffusion; American put option; maturity
45K05: Integro-partial differential equations
91G20: Derivative securities (option pricing, hedging, etc.)
60G57: Random measures
35R35: Free boundary problems for PDEs
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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