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On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps. (2009). Bayraktar, Erhan.
In: Papers.
RePEc:arx:papers:math/0703538.

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  1. [~1 Andrei N. Borodin and Paavo Salminen. Handbook of Brownian rnotion-facts and formulae. Probability and its Applications. Birkh
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  2. [~1 Erhan Bayraktar. Remarks on the perpetual American put option for jump diffusions. Technical report, University of Michigan, April, 2007. Available at http://www.citebase.org/abstract?ict=oai:arxiv.org:math/0703538.
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  4. [~l E. Bayraktar and S. Sezer. Quickest detection for a Poisson process with a phase-type changetime distribution. Technical report, University of Michigan, November, 2006. Available at http: Ilarxiv. org/PS_cache/math/pdf/0611/0611563.pdf.
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  6. [11 Larbi Alili and Andreas E. Kyprianou. Some remarks on first passage of Levy processes, the American put and pasting principles. Ann. Appl. Probab., 15(3):2062-2080, 2005.

  7. [21 L. H. R. Alvarez. A class of solvable impulse control problems. Appl. Math. and Optirn., 49:265-295, 2004. [~l Luis H. R. Alvarez. Solving optimal stopping problems of linear diffusions by applying convolution approximations.
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  8. [61 Erhan Bayraktar, Savas Dayanik, and loannis Karatzas. Adaptive Poisson disorder problem. Ann. Appl. Probab., 16(3):1190-1261, 2006.
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  10. Math. Finance, 8(2):93-126, 1998. [121 M. G. Garroni and J. L. Menaldi. Green Functions for Second Order Parabolic Integro-Differential Problems. Research
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