Pricing American currency options in an exponential Levy model
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- Barrieu, Pauline & Bellamy, N., 2007. "Optimal hitting time and perpetual option in a non-Lévy model: application to real options," LSE Research Online Documents on Economics 5099, London School of Economics and Political Science, LSE Library.
- Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
- Marc Chesney & Pierre Lasserre & Bruno Troja, 2016.
"Mitigating Global Warming: A Real Option Approach,"
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- L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487, arXiv.org.
- Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Double continuation regions for American and Swing options with negative discount rate in L\'evy models," Papers 1801.00266, arXiv.org.
- repec:spr:annopr:v:255:y:2017:i:1:d:10.1007_s10479-016-2258-5 is not listed on IDEAS
- Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
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More about this item
KeywordsAmerican options; perpetual options; exercise boundary; incomplete markets; jump diffusion model; Laplace transform; stopping times; Levy exponent; overshoot;
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