The Early Exercise Boundary Under the Jump to Default Extended CEV Model

被引：1
|
作者：
Nunes, Joao Pedro Vidal [1 ]
Dias, Jose Carlos [1 ]
Ruas, Joao Pedro [1 ,2 ]
机构：
[1] Inst Univ Lisboa ISCTE IUL, Business Res Unit BRU IUL, Lisbon, Portugal
[2] Soc Gestora Fundos Pensoes Banco Portugal, Lisbon, Portugal
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2020年 / 82卷 / 01期
关键词：
American-style options; Early exercise boundary; Default; JDCEV model; Bessel processes; CONSTANT ELASTICITY; AMERICAN OPTIONS; EQUITY VOLATILITY; HEAT-EQUATION; STOCK-OPTION; VALUATION; RISK; SUBJECT; PRICES;
D O I：
10.1007/s00245-018-9496-7
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper proves the existence, uniqueness, monotonicity and continuity of the early exercise boundary attached to American-style standard options under thejump to default extended constant elasticity of variancemodel of Carr and Linetsky (Financ Stoch 10(3):303-330,2006).
引用
收藏
页码：151 / 181
页数：31
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