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The critical price for the American put in an exponential Lévy model · Study

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ArticleThe critical price for the American put in an exponential Lévy model

Damien Lamberton2008

Article2008

The critical price for the American put in an exponential Lévy model

Damien Lamberton · Mohammed Mikou

45 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Probability and Risk Models

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References

1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 2002The Fine Structure of Asset Returns: An Empirical Investigation 1981Les Aspects Probabilistes Du Controle Stochastique 2002Non-Gaussian Merton-Black-Scholes Theory 2002Non-Gaussian Merton-Black-Scholes Theory 1997Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model 2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES

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2014Real Options and American Derivatives: The Double Continuation Region 2009Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions 2021Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models

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Year2008

Typearticle

Published2008-09-17

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-008-0073-9

openalex_workW2036802124

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