The American put option in a one-dimensional diffusion model with level-dependent volatility

Author: Babilua P.   Bokuchava I.   Dochviri B.   Shashiashvili M.  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.79, Iss.1-2, 2007-02, pp. : 5-25

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Abstract