 |
HAL UPEC - UPEM Portal |  |
 |
Journal articles
The smooth-fit property in an exponential Lévy model
Abstract : We 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.
Cited literature [14 references]
https://hal-upec-upem.archives-ouvertes.fr/hal-00677327
Contributor : Damien Lamberton Connect in order to contact the contributor
Submitted on : Monday, March 4, 2013 - 5:04:53 PM
Last modification on : Thursday, January 20, 2022 - 5:29:29 PM
Long-term archiving on: : Wednesday, June 5, 2013 - 2:35:09 AM
Contributor : Damien Lamberton Connect in order to contact the contributor
Submitted on : Monday, March 4, 2013 - 5:04:53 PM
Last modification on : Thursday, January 20, 2022 - 5:29:29 PM
Long-term archiving on: : Wednesday, June 5, 2013 - 2:35:09 AM
File
sfAPT.pdf
Files produced by the author(s)