On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

Erhan Bayraktar

Papers from arXiv.org

Abstract: We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is $C^2$ except at the stopping boundary and that it is $C^1$ everywhere (i.e. the smooth pasting condition always holds).

Date: 2007-03, Revised 2009-01
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Journal Article: On the perpetual American put options for level dependent volatility models with jumps (2009)
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