A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
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Publication:3557935
DOI10.1137/070686494zbMath1204.60033arXivmath/0703782OpenAlexW3124303120MaRDI QIDQ3557935
Publication date: 28 April 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703782
integro-differential equationsoptimal stoppingMarkov processesAmerican optionsjump diffusionsparabolic free boundary equations
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