Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
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Publication:5388675
DOI10.1137/100800889zbMath1247.91186arXiv0911.5117MaRDI QIDQ5388675
Benjamin Jourdain, Michel H. Vellekoop
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.5117
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
91A60: Probabilistic games; gambling
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