A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions.

Erhan Bayraktar

Published in: SIAM J. Control. Optim. (2009)

Keyphrases

markov chain
complete axiomatization
united states
option pricing
diffusion processes
theorem prover
cost function
unit length
prior information
modal logic
mathematical proofs
vector valued
finite number
data sets
scale space
markov random field
case study
neural network