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- Title
The critical price for the American put in an exponential Lévy model.
- Authors
Lamberton, Damien; Mikou, Mohammed
- Abstract
This paper considers the behavior of the critical price for the American put in the exponential Lévy model when the underlying stock pays dividends at a continuous rate. We prove the continuity of the free boundary and give a characterization of the critical price at maturity, generalizing a recent result of S.Z. Levendorskiǐ (Int. J. Theor. Appl. Finance 7:303–336, ).
- Subjects
PRICES of securities; STOCK prices; EARNINGS per share; DIVIDEND reinvestment; DIVIDEND yield; STOCKS (Finance); STOCK exchanges; STOCK ownership; STOCK price indexes
- Publication
Finance & Stochastics, 2008, Vol 12, Issue 4, p561
- ISSN
0949-2984
- Publication type
Article
- DOI
10.1007/s00780-008-0073-9