A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
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References listed on IDEAS
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Cited by:
- Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December.
- Juozas Vaicenavicius, 2017. "Asset liquidation under drift uncertainty and regime-switching volatility," Papers 1701.08579, arXiv.org, revised Jan 2019.
- Erhan Bayraktar & Zhou Zhou, 2012. "On controller-stopper problems with jumps and their applications to indifference pricing of American options," Papers 1212.4894, arXiv.org, revised Nov 2013.
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