The Early Exercise Boundary Under the Jump to Default Extended CEV Model

被引：0
|
作者：
João Pedro Vidal Nunes
José Carlos Dias
João Pedro Ruas
机构：
[1] Instituto Universitário de Lisboa (ISCTE-IUL),Business Research Unit (BRU
[2] Sociedade Gestora dos Fundos de Pensões do Banco de Portugal,IUL)
来源：
Applied Mathematics & Optimization | 2020年 / 82卷
关键词：
American-style options; Early exercise boundary; Default; JDCEV model; Bessel processes; 35R09; 60G40; 60J55; 60J60;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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).
引用
收藏
页码：151 / 181
页数：30
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