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

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 C2 except at the stopping boundary and that it is C1 everywhere (i.e. the smooth pasting condition always holds)

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Year of publication:	2014
Authors:	Bayraktar, Erhan
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance, 11 (3), 335-341, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 21, 2009 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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