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The Laplace transform ψ(φ) (left) and solutions of ψ(φ) = q for different q (right). Parameters: σ = 0.2, λ = 0.2, ρ = 7.5, µ = 0.06.

The Laplace transform ψ(φ) (left) and solutions of ψ(φ) = q for different q (right). Parameters: σ = 0.2, λ = 0.2, ρ = 7.5, µ = 0.06.

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Figure 3. The Laplace transform ψ(φ) (left) and solutions of ψ(φ) = q...
Figure 4. The American put option value for different discounting...
Figure 5. The American put option value for different intensities of...
Figure 6. The American put option value for different intensities of...
Figure 7. The American put option value for spectrally asymmetric...
Double continuation regions for American and Swing options with negative discount rate in L\'evy models
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  • Dec 2017
In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this...
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