Double continuation regions for American and Swing options with negative discount rate in Lévy models
Author:
Affiliation:
1. Department of Economics and ManagementUniversity of ParmaParma Italy
2. Faculty of Pure and Applied MathematicsWrocław University of Science and TechnologyWrocław Poland
3. Mathematical InstituteUniversity of WrocławWrocław Poland
Funder
Narodowym Centrum Nauki
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12218
Reference58 articles.
1. The Perpetual American Put Option for Jump-Diffusions
2. Some remarks on first passage of Lévy processes, the American put and pasting principles
3. Viscosity solutions of nonlinear integro-differential equations
4. Jump Diffusion Option Valuation in Discrete Time
5. Russian and American put options under exponential phase-type Lévy models
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