Add to ORKGWe study the smooth-fit property of the American put price with finite maturity in an exponential Lévy model when the underlying stock pays dividends at a continuous rate. As in the perpetual case, a regularity property is sufficient for smooth-fit to occur. We also derive conditions on the Lévy measure under which smooth-fit fails
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
We study testable implications for the dynamics of consumption and income of models in which \u85rst...
We present closed-form solutions to the perpetual American dividend-paying put and call option prici...
International audienceWe study the smooth-fit property of the American put price with finite maturit...
International audienceWe study the behavior of the critical price of an American put option near mat...
International audienceThis paper considers the behavior of the critical price for the American put i...
AbstractWe analyze the regularity of the value function and of the optimal exercise boundary of the ...
We analyze the regularity of the value function and of the optimal exercise boundary of the American...
International audienceWe consider an American put option on a dividend-paying stock whose volatility...
We study some properties of the American option price in the stochastic volatility Heston model. We ...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
In this paper we solve an optimal stopping problem with an infinite time horizon, when the state var...
Given a converging sequence of exponential Lévy models, we give conditions under which the associat...
In this article the problem of the American option valuation in a Lévy process setting is analysed....
The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
We study testable implications for the dynamics of consumption and income of models in which \u85rst...
We present closed-form solutions to the perpetual American dividend-paying put and call option prici...
International audienceWe study the smooth-fit property of the American put price with finite maturit...
International audienceWe study the behavior of the critical price of an American put option near mat...
International audienceThis paper considers the behavior of the critical price for the American put i...
AbstractWe analyze the regularity of the value function and of the optimal exercise boundary of the ...
We analyze the regularity of the value function and of the optimal exercise boundary of the American...
International audienceWe consider an American put option on a dividend-paying stock whose volatility...
We study some properties of the American option price in the stochastic volatility Heston model. We ...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
In this paper we solve an optimal stopping problem with an infinite time horizon, when the state var...
Given a converging sequence of exponential Lévy models, we give conditions under which the associat...
In this article the problem of the American option valuation in a Lévy process setting is analysed....
The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting...
We analyze the regularity of the optimal exercise boundary for the American Put option when the unde...
We study testable implications for the dynamics of consumption and income of models in which \u85rst...
We present closed-form solutions to the perpetual American dividend-paying put and call option prici...