The critical price for the American put in an exponential Lévy model.

Damien Lamberton Mohammed Adam Mikou

Published in: Finance Stochastics (2008)

Keyphrases

sensitivity analysis
experimental data
statistical model
information retrieval
regression model
management system
probability distribution
similarity measure
high level
database
probabilistic model
objective function
theoretical analysis
theoretical framework
mathematical model
genetic algorithm
simulation model