Abstract
We study the smooth-fit property of the American put price with finite maturity in an exponential Lévy model when the underlying stock pays dividends at a continuous rate. As in the perpetual case, a regularity property is sufficient for smooth fit to occur. We also derive conditions on the Lévy measure under which smooth fit fails.
Citation
Damien Lamberton. Mohammed Mikou. "The smooth-fit property in an exponential Lévy model." J. Appl. Probab. 49 (1) 137 - 149, March 2012. https://doi.org/10.1239/jap/1331216838
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