Semimartingale Local Time and the American Put Option
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A Value
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Abstract A new result is obtained on the vanishing of the local time of a non-negative continuous semimartingale at zero. Based on this result, an early exercise premium representation of a value function of the American put option is obtained in a one-dimensional general diffusion model.
2018 ◽
Vol 21
(07)
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pp. 1850039
2003 ◽
Vol 49
(9)
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pp. 1210-1228
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2000 ◽
Vol 10
(3-4)
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pp. 461-479
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2018 ◽
Vol 172
(3)
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pp. 448-452
2002 ◽
Vol 62
(5)
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pp. 1823-1835
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