Presentation: Some properties of American option prices in exponential Lévy mdels
Workshop: Optimization and Optimal Control
Time: Wed, October 22, 2008, 15:00-15:50
Speaker: Damien Lamberton
Abstract
After a discussion of the connection between variational inequalities and optimal stopping problems, the talk will focus on regularity properties of the American put price in exponential Lévy models. In particular, we will discuss the so called smooth fit property. This talk is based on joint work with M. Mikou.
Presentation slides (pdf, 322 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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