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20042024
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations · 119 across the 10 of their papers we have counts for

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q-fin.PR2011★ 1 cited

Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model

Damien Lamberton, Mohammed Mikou

We study the behavior of the critical price of an American put option near maturity in the exponential Lévy model when the underlying stock pays dividends at a continuous rate. In…