Pricing of the American put under Lévy processes

International Journal of Theoretical and Applied Finance

Volumn 7, Issue 3, 2004, Pages 303-335

  Levendorskii S Z ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

Carr's randomization; Exercise boundary near expiry

Indexed keywords

EID: 7444244369     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024904002463     Document Type: Article

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