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arxiv: math/0703538 · v12 · submitted 2007-03-19 · 🧮 math.OC · q-fin.PR

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

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keywords americandependentjumpslevelperpetualvolatilityalwaysassociated
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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 $C^2$ except at the stopping boundary and that it is $C^1$ everywhere (i.e. the smooth pasting condition always holds).

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