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Journal Articles Finance and Stochastics Year : 2008

The critical price for the American put in an exponential Levy model

Abstract

This paper considers the behavior of the critical price for the American put in the exponential Levy 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. Levendorskii (Int. J. Theor. Appl. Finance 7:303-336, 2004).

Dates and versions

hal-00693063 , version 1 (01-05-2012)

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Damien Lamberton, Mohammed Mikou. The critical price for the American put in an exponential Levy model. Finance and Stochastics, 2008, 12 (4), pp.561--581. ⟨10.1007/s00780-008-0073-9⟩. ⟨hal-00693063⟩
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