Applied Mathematics and Optimization, Vol.82, No.1, 151-181, 2020
The Early Exercise Boundary Under the Jump to Default Extended CEV Model
This paper proves the existence, uniqueness, monotonicity and continuity of the early exercise boundary attached to American-style standard options under thejump to default extended constant elasticity of variancemodel of Carr and Linetsky (Financ Stoch 10(3):303-330,2006).