Regularity of the Optimal Stopping Problem for Jump Diffusions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/100810915
Reference16 articles.
1. Estimating the degree of activity of jumps in high frequency data
2. Is Brownian motion necessary to model high-frequency data?
3. Obstacle problem for nonlinear integro-differential equations arising in option pricing
4. Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
5. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
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