PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES

DOI10.1142/S0219024904002463zbMath1107.91050OpenAlexW2043422728MaRDI QIDQ4653014

Sergei Levendorskii

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002463

zbMATH Keywords

Carr's randomizationexercise boundary near expiry

Mathematics Subject Classification ID

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