The Smooth-Fit Property in an Exponential Lévy Model
نویسندگان
چکیده
منابع مشابه
The Smooth-Fit Property in an Exponential Lévy Model
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.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2012
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1331216838