The smooth-fit property in an exponential Lévy model

DOI10.1239/JAP/1331216838zbMATH Open1236.91134MaRDI QIDQ5388745FDOQ5388745

Authors: 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

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zbMATH Keywords

American optionoptimal stoppingsmooth-fit propertyLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (10)

• Perpetual American options with asset-dependent discounting
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• The critical price for the American put in an exponential Lévy model
• Exercise boundary of the American put near maturity in an exponential Lévy model
• Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
• The critical price of the American put near maturity in the jump diffusion model
• Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling
• A radial basis function scheme for option pricing in exponential Lévy models
• American Option Valuation under Continuous-Time Markov Chains

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