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

This paper proves the existence, uniqueness, monotonicity and continuity of the early exercise boundary attached to American-style standard options under the jump to default extended constant elasticity of variance model of Carr and Linetsky (Financ Stoch 10(3):303–330, 2006 ).

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Bibliographic Details
Published inApplied mathematics & optimization Vol. 82; no. 1; pp. 151 - 181
Main Authors Nunes, João Pedro Vidal, Dias, José Carlos, Ruas, João Pedro
Format Journal Article
LanguageEnglish
Published New York Springer US 01.08.2020
Springer Nature B.V
Subjects
Calculus of Variations and Optimal Control; Optimization
Control
Elasticity
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematics
Mathematics and Statistics
Numerical and Computational Physics
Simulation
Systems Theory
Theoretical
35R09
60J60
60G40
Early exercise boundary
American-style options
Default
JDCEV model
Bessel processes
60J55
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Summary:This paper proves the existence, uniqueness, monotonicity and continuity of the early exercise boundary attached to American-style standard options under the jump to default extended constant elasticity of variance model of Carr and Linetsky (Financ Stoch 10(3):303–330, 2006 ).
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0095-4616
1432-0606
DOI:10.1007/s00245-018-9496-7