The critical price for the American put in an exponential Lévy model

Damien Lamberton () and Mohammed Mikou

Finance and Stochastics, 2008, vol. 12, issue 4, 581 pages

Keywords: American options; Optimal stopping; Exponential Lévy model; 60G40; 60J75; 91B28; G10; G12; G13 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s00780-008-0073-9

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