The smooth-fit property in an exponential Lévy model

DOI10.1239/JAP/1331216838MaRDI QIDQ5388745zbMATH OpenFDO

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

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)

Recommendations

• 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
• Perpetual American Options Under Lévy Processes
• Pricing American currency options in an exponential Lévy model
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES

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

This page was built for publication: The smooth-fit property in an exponential Lévy model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5388745)