On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

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dc.creatorBayraktar, Erhan
dc.date2007-03-19
dc.date2009-01-21
dc.date.accessioned2026-07-07T12:32:14Z
dc.date.available2026-07-07T12:32:14Z
dc.descriptionWe 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 $C^1$ everywhere (i.e. the smooth pasting condition always holds).
dc.identifierhttps://arxiv.org/abs/math/0703538
dc.identifierhttp://arxiv.org/abs/math/0703538
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/216714
dc.subjectOptimization and Control
dc.subjectPricing of Securities
dc.subject62L15; 60J75
dc.titleOn the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
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