A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/070686494
Reference9 articles.
1. Some remarks on first passage of Lévy processes, the American put and pasting principles
2. Solving optimal stopping problems of linear diffusions by applying convolution approximations
3. Adaptive Poisson disorder problem
4. Maturity randomization for stochastic control problems
5. Randomization and the American Put
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