On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2000. "Modelling by Levy Processes for Financial Econometrics," Economics Series Working Papers 2000-W03, University of Oxford, Department of Economics.
- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, pages 87-106.
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- Ju, Nengjiu, 1998. "Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function," Review of Financial Studies, Society for Financial Studies, pages 627-646.
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KeywordsAmerican options Perpetual approximation Spectrally negative exponential Lévy process;
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