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The critical price for the American put in an exponential Levy model

Abstract : This paper considers the behavior of the critical price for the American put in the exponential Levy model when the underlying stock pays dividends at a continuous rate. We prove the continuity of the free boundary and give a characterization of the critical price at maturity, generalizing a recent result of S.Z. Levendorskii (Int. J. Theor. Appl. Finance 7:303-336, 2004).
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Submitted on : Tuesday, May 1, 2012 - 7:52:05 PM
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Damien Lamberton, Mohammed Mikou. The critical price for the American put in an exponential Levy model. Finance and Stochastics, Springer Verlag (Germany), 2008, 12 (4), pp.561--581. ⟨10.1007/s00780-008-0073-9⟩. ⟨hal-00693063⟩

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