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The Early Exercise Boundary Under the Jump to Default Extended CEV Model.
- Source :
-
Applied Mathematics & Optimization . Aug2020, Vol. 82 Issue 1, p151-181. 31p. - Publication Year :
- 2020
-
Abstract
- This paper proves the existence, uniqueness, monotonicity and continuity of the early exercise boundary attached to American-style standard options under the jump to default extended constant elasticity of variance model of Carr and Linetsky (Financ Stoch 10(3):303–330, 2006). [ABSTRACT FROM AUTHOR]
- Subjects :
- *EXERCISE
*ELASTICITY
*CONTINUITY
*VARIANCES
Subjects
Details
- Language :
- English
- ISSN :
- 00954616
- Volume :
- 82
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Applied Mathematics & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 144564022
- Full Text :
- https://doi.org/10.1007/s00245-018-9496-7