propagation of convexity
Recently Published Documents


TOTAL DOCUMENTS

3
(FIVE YEARS 0)

H-INDEX

3
(FIVE YEARS 0)

2008 ◽  
Vol 11 (06) ◽  
pp. 597-610 ◽  
Author(s):  
JEAN-CHRISTOPHE BRETON ◽  
NICOLAS PRIVAULT

We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities and jump sizes formulated in our hypotheses are different from the ones already found in the literature (Finance and Stochastics4(2) (2000) 209–222; 10(2) (2006) 229–249).


2007 ◽  
Vol 44 (01) ◽  
pp. 181-198 ◽  
Author(s):  
Stéphane Villeneuve

In this paper we investigate sufficient conditions that ensure the optimality of threshold strategies for optimal stopping problems with finite or perpetual maturities. Our result is based on a local-time argument that enables us to give an alternative proof of the smooth-fit principle. Moreover, we present a class of optimal stopping problems for which the propagation of convexity fails.


2007 ◽  
Vol 44 (1) ◽  
pp. 181-198 ◽  
Author(s):  
Stéphane Villeneuve

In this paper we investigate sufficient conditions that ensure the optimality of threshold strategies for optimal stopping problems with finite or perpetual maturities. Our result is based on a local-time argument that enables us to give an alternative proof of the smooth-fit principle. Moreover, we present a class of optimal stopping problems for which the propagation of convexity fails.


Sign in / Sign up

Export Citation Format

Share Document