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Path properties and regularity of affine processes on general state spaces
affine processes path properties regularity Markov semimartingales
2011/7/20
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Exercise Boundary Assets Discrete Dividends
2010/11/3
We analyze the regularity of the optimal exercise boundary for the American Put option
when the underlying asset pays a discrete dividend at a known time td during the lifetime of
the option. The ex...