On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
Subject: Mathematics - Optimization and Control | 62L15 | Quantitative Finance - Pricing of Securities | 60J75
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is $C^2$ except at the stopping boundary and that it is ... View more
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