Bayraktar, Erhan and Xing, Hao (2009) Analysis of the optimal exercise boundary of American options for jump diffusions. SIAM Journal on Mathematical Analysis, 41 (2). pp. 825-860. ISSN 0036-1410
Full text not available from this repository.Abstract
In this paper we show that the optimal exercise boundary/free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at maturity). This differentiability result was established by Yang, Jiang, and Bian [European J. Appl. Math., 17 (2006), pp. 95–127] in the case where the condition $r\geq q+\lambda\int_{\mathbb{R}_+}\,(e^z-1)\,\nu(dz)$ is satisfied. We extend the result to the case where the condition fails using a unified approach that treats both cases simultaneously. We also show that the boundary is infinitely differentiable under a regularity assumption on the jump distribution.
| Item Type: | Article |
|---|---|
| Official URL: | http://epubs.siam.org/ |
| Additional Information: | © 2009 Society for Industrial and Applied Mathematics |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 28 Jan 2011 15:41 |
| Last Modified: | 03 Apr 2024 05:57 |
| URI: | http://eprints.lse.ac.uk/id/eprint/31868 |
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