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Publication Detailed Description
Journal Title
Applied Mathematics and Optimization
Year (definitive publication)
2020
Language
English
Country
United States of America
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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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