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.
https://hal-upec-upem.archives-ouvertes.fr/hal-00677327 Contributor : Damien LambertonConnect 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
Damien Lamberton, Mohammed Mikou. The smooth-fit property in an exponential Lévy model. Journal of Applied Probability, Cambridge University press, 2012, 49 (1), pp.137-149. ⟨hal-00677327⟩