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Publication Detailed Description
Scientific journal paper
Q1
Journal Title
Applied Mathematics and Optimization
Year (definitive publication)
2020
Language
English
Country
United States of America
More Information
Web of Science®
Scopus
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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).
Acknowledgements
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Keywords
American-style options,Early exercise boundary,Default,JDCEV model,Bessel processes
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |
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Publication Identifiers
| 2-s2.0-85045749595 | |
| 10.1007/s00245-018-9496-7 | |
| cv-prod-id-332984 | |
| WOS:000548733700006 | |
| 000548733700006 | |
| 2-s2.0-85045749595 | |
| ci-pub-47949 | |
| http://hdl.handle.net/10071/18129 |
Other Publication Details
| 2018 | |||
| Springer | |||
| Web of Science©; Scopus; | |||
|
0095-4616 (print) 1432-0606 (online) |
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| -- | |||
| -- | |||
| 82 | 1 | ||
| 151 - 181 | |||
| Yes | |||
| Link to the repository | |||
| 2018-04-23 | |||
