Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2026
Interior smoothness and zero-variance geometry for finite-maturity Heston American puts
Junkee Jeon, Takwon Kim, Jehan Oh
We study finite-maturity American puts in the Heston model without the Feller condition. At positive variance, the exercise boundary is smooth and strictly decreasing in remaining…
q-fin.MF2026
Finite-Horizon Reversible Investment under Multi-Factor Dynamics
Junkee Jeon, Takwon Kim, Jinwan Park +1
We study a finite-horizon reversible investment problem in which a risk-neutral firm adjusts capacity at a proportional purchase cost and a lower salvage value under multi-factor g…