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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 1-2: Optimal Stopping and Applications Part I
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Original Articles

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

P. Babilua The Probability Theory and Mathematical Statistics Chair, Tbilisi State University, 2, University Street, Tbilisi, 0143, Georgia
,
I. Bokuchava The Probability Theory and Mathematical Statistics Chair, Tbilisi State University, 2, University Street, Tbilisi, 0143, Georgia
,
B. Dochviri The Probability Theory and Mathematical Statistics Chair, Tbilisi State University, 2, University Street, Tbilisi, 0143, Georgia
&
M. Shashiashvili School of Mathematical Sciences GCU, Lahore 68-B, New Muslim Town, Lahore, PakistanCorrespondence[email protected]
Pages 5-25 | Received 10 Feb 2006, Accepted 27 Apr 2006, Published online: 05 Nov 2008

References

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