The Smooth-Fit Property in an Exponential Lévy Model
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Publication:5388745
DOI10.1239/jap/1331216838zbMath1236.91134MaRDI QIDQ5388745
Damien Lamberton, Mohammed Adam Mikou
Publication date: 20 April 2012
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1331216838
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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