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

页码：151 / 181

页数：30

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