Quantitative Finance, 11 (3), 335-341, 2011.
9 Pages Posted: 2 Feb 2014
Date Written: January 21, 2009
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is C2 except at the stopping boundary and that it is C1 everywhere (i.e. the smooth pasting condition always holds).
Keywords: American options, jump diffusion, smooth fit, perpetual
Suggested Citation: Suggested Citation
Bayraktar, Erhan, On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps (January 21, 2009). Quantitative Finance, 11 (3), 335-341, 2011.. Available at SSRN: https://ssrn.com/abstract=2389432