Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics,Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/080712519
Reference16 articles.
1. An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
2. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
3. Continuous differentiability of the free boundary for weak solutions of the Stefan problem
4. A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
5. Parabolic variational inequalities in one space dimension and smoothness of the free boundary
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