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Regularity of the American Put option in the Black–Scholes model with general discrete dividends

  • Published:2012-09 Issue:9 Volume:122 Page:3101-3125
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Jeunesse M.,Jourdain B.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference22 articles.

1. Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables;Abramowitz,1972

2. Analysis of the optimal exercise boundary of american options for jump diffusions;Bayraktar;SIAM Journal on Mathematical Analysis,2009

3. Handbook of Brownian Motion—Facts and Formulae;Borodin,1996

4. A mathematical analysis of the optimal exercise boundary for american put options;Chadam;SIAM Journal on Mathematical Analysis,2006

5. Convexity of the exercise boundary of the american put option on a zero dividend asset;Chen;Mathematical Finance,2008

Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Pricing of European Exchange Option with Continuous Dividends;2019 15th International Conference on Computational Intelligence and Security (CIS);2019-12

2. Option Pricing under Stochastic Interest Rates;2018 14th International Conference on Computational Intelligence and Security (CIS);2018-11

3. Local Volatility from American Options;SSRN Electronic Journal;2016

4. Second-order integro-differential parabolic variational inequalities arising from the valuation of American option;Journal of Inequalities and Applications;2014-01-03

5. Bayesian Support Vector Machines for Economic Modeling: Application to Option Pricing;Advanced Information and Knowledge Processing;2013
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