{"entities":{"Q2465175":{"pageid":2475918,"ns":120,"title":"Item:Q2465175","lastrevid":50243465,"modified":"2026-01-13T15:25:19Z","type":"item","id":"Q2465175","labels":{"en":{"language":"en","value":"On the behaviour near expiry for multi-dimensional American options"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5223984"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$82019FCC-ED81-4252-80D1-356AEB77E722","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"145c98630d13dc04e988620833445784ef2fb821","datavalue":{"value":{"text":"On the behaviour near expiry for multi-dimensional American options","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2465175$3533F7C5-E386-41EB-A207-92AEED82500C","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"0a63982a0fd60b9f6343802f235d3d15139d02b3","datavalue":{"value":"1135.91020","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2465175$D0CB43BD-38D8-4354-940E-6D4AB1D2953B","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ec1689c729c27849c2c2cd50cf0ca5ab155626b4","datavalue":{"value":{"entity-type":"item","numeric-id":342999,"id":"Q342999"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$707BC929-BCCA-49BB-8FB6-1C20739480D5","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"c5ad7b9baf8e531c6b1ad954eb5f2899cc8fe5e5","datavalue":{"value":{"entity-type":"item","numeric-id":85344,"id":"Q85344"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$71A3D32E-35DE-4193-B0E3-CB144E8D1BB7","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"8d515cb828420070a0925c14f4a9832d5fd8befc","datavalue":{"value":{"time":"+2008-01-08T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2465175$0B2AA98B-CCDC-49A1-9B13-10360305AC3F","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"af5a927713ad955238942199fbccb4a7467a02c1","datavalue":{"value":"The assumptions on the market of this paper are given within a generalized Black-Scholes framework. It is assumed that the logarithms of the prices solve a system of stochastic differential equations with \\(n\\)-dimensional Wiener process and that a positive and continuous instantaneous interest rate \\(\\rho\\) exists. The American option of the general form \\(\\Psi(S_1(t),\\ldots,S_n(t))\\) with a time horizon \\(T>0\\) is considered, where \\(\\Psi\\) is a real-valued Lipschitz function. Under some additional ellipticity conditions the behaviour near expiry of the free boundary, or optimal exercise boundary, connected with the unique fair price, is analyzed. The regularity for the pricing function is proved up to the terminal state. Also, a sufficient criteria is established for the statement that the optimal exercise boundary approaches the terminal state faster than parabolically.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2465175$5DC2B9C7-8C46-43EF-80FA-1DD906910F5C","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2465175$13AD8358-364C-43AC-8839-7CDC7DDC2875","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"b1355fbb4f7dce5b1a2a667a659d4b16ecef07e4","datavalue":{"value":"60H10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2465175$5524BFE1-2099-4083-A063-0ADE3A17C031","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"5bd46e901dff2e263a531263a7ab96b43168cd2c","datavalue":{"value":"5223984","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2465175$C23EE03B-094E-4F99-887E-162EE36CA2CF","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"1ff5036370575bd7d70032df9d04486707d5a6d5","datavalue":{"value":"American option","type":"string"},"datatype":"string"},"type":"statement","id":"Q2465175$373C94E7-D7BD-47B5-9CC4-DF0974674F0F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"26b71c2c919110a9a674375270d30dcd00e0c5aa","datavalue":{"value":"parabolic obstacle problem","type":"string"},"datatype":"string"},"type":"statement","id":"Q2465175$ED99E09E-46B5-4EE0-BCA6-E68B995A55C4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"40f333cfcb9b7ef8164882f23adc76b7de0a789a","datavalue":{"value":"free boundary","type":"string"},"datatype":"string"},"type":"statement","id":"Q2465175$18404BF7-92C5-4229-9C08-47528EE08B7D","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$B62006DA-8A5D-4C01-9F48-4706097A0446","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$DDA3648A-37E4-4BA0-943F-C157FD14A345","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"1e07060c14d9679dd753f6f348ec2617af465b69","datavalue":{"value":"https://doi.org/10.1016/j.jmaa.2007.06.068","type":"string"},"datatype":"url"},"type":"statement","id":"Q2465175$E7AB7333-7E44-4772-AAEA-4EC5380654D6","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"a79deaf1accd80a630fee67f6182edda289e0c98","datavalue":{"value":"W2089647120","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2465175$D34F576E-E43E-4C5A-A6A8-2601A2AB402C","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"64abe5740f308e268cfe6ecb92d2ee31eeea4145","datavalue":{"value":{"entity-type":"item","numeric-id":1413599,"id":"Q1413599"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$41E235BB-5EBA-4580-8554-D5828B234DA3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d363ba7d7db94db81673e9708588b5aae96d3645","datavalue":{"value":{"entity-type":"item","numeric-id":3126224,"id":"Q3126224"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$BDD16D3D-A2D3-4A4D-AB9A-7426B6746B8A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d42f8f1081fcf4557cadc333a399bc1006382509","datavalue":{"value":{"entity-type":"item","numeric-id":3353912,"id":"Q3353912"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$A45494EE-3031-40BF-8D05-B2535ECE97B4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f5cc960d669c8f0f55aa06b027f2857842f2bd62","datavalue":{"value":{"entity-type":"item","numeric-id":760330,"id":"Q760330"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$2417FD12-0656-4D7F-B6E3-A3D6C593E139","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c7cc085d4c08ddda972a84a460edc2a6ab613796","datavalue":{"value":{"entity-type":"item","numeric-id":4199298,"id":"Q4199298"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$83DFDC6C-BE5C-4C85-8237-D774096FD211","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0185f9d2e91893bfeeba38fdad4adb3f06f79c7d","datavalue":{"value":{"entity-type":"item","numeric-id":710551,"id":"Q710551"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$9017B314-2C2A-4EC5-8602-304937C7B970","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7d5e9e48535cf4425749c450e05905d4706c6c90","datavalue":{"value":{"entity-type":"item","numeric-id":4354432,"id":"Q4354432"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$9C759484-4441-42B7-9434-11640BCF1908","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5d52be15b8559ad032acd0d2a3962732842f2d04","datavalue":{"value":{"entity-type":"item","numeric-id":4821031,"id":"Q4821031"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$2CA6B0ED-A928-4193-A216-4D8B66983753","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"59a4b9a65365f01d3ee05882a98c4fa669d11c48","datavalue":{"value":{"entity-type":"item","numeric-id":5438180,"id":"Q5438180"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$E21C165B-3BC1-44F7-ABCA-09C037D7BF24","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3f54376a094d543a9efc0472f4a14f402784272d","datavalue":{"value":{"entity-type":"item","numeric-id":1766723,"id":"Q1766723"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$83E2B9B8-8CDE-49E7-A0D1-29F3D1C9BAD0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"eae2d441dffe9e4c76dc3c088ababec59f4d2add","datavalue":{"value":{"entity-type":"item","numeric-id":874977,"id":"Q874977"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$BCF17909-91E2-466F-86A6-D7C46823D529","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6267fd3ab20cb642e7887e734927ceac0c892c4a","datavalue":{"value":{"entity-type":"item","numeric-id":4795994,"id":"Q4795994"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$79F066F5-10EB-4DCF-A483-1C9DBF92BC55","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"542b24756abb7a9e2eea6cfae2b1f9663797a7df","datavalue":{"value":{"entity-type":"item","numeric-id":3678248,"id":"Q3678248"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$B499750D-582D-4C10-A1F0-36FFC96582C9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2514c80d6b2a374acc9a9fea833078ff628ab3b6","datavalue":{"value":{"entity-type":"item","numeric-id":3994515,"id":"Q3994515"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$1A74FE60-3D27-49FB-814E-62872B7DE4D8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f25a23676851b69d5f2fdd9c36afa6992a98dc54","datavalue":{"value":{"entity-type":"item","numeric-id":2577472,"id":"Q2577472"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$8494CFC2-3262-4995-A4E0-55D41973CB43","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e6885e92fa54e212a316b82eb3c9f26eb2377f00","datavalue":{"value":{"entity-type":"item","numeric-id":4213031,"id":"Q4213031"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$B5662F5D-CB4A-4723-8C86-27548F4BC203","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2e25968847393ae5d54bc72b986355716dc9d8f4","datavalue":{"value":{"entity-type":"item","numeric-id":751451,"id":"Q751451"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$CA686656-0D20-4FCE-8FF1-30C049B96D6B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"47e79fa34bf58ec5212196f66c9d6ef4635df037","datavalue":{"value":{"entity-type":"item","numeric-id":3881213,"id":"Q3881213"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$FC792820-65A3-4827-A01D-DC7618069DC3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ccdab933bb0a9b2f51b1d1cb66857722616882f5","datavalue":{"value":{"entity-type":"item","numeric-id":1413692,"id":"Q1413692"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$02A00D9B-E87F-4CB7-AEE8-67F56CC22BEF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"db256ba2b7bf99f14c6cb9d7b680ad016a02749c","datavalue":{"value":{"entity-type":"item","numeric-id":5424266,"id":"Q5424266"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$24079940-2C25-4920-BC5F-3E1DE5A464EB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6ba46169a70ab30a63b17b681eb3b42afe88e963","datavalue":{"value":{"entity-type":"item","numeric-id":1772495,"id":"Q1772495"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$E93483EE-60A4-4BF5-ABBC-FC3C77B15D20","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e7a6924f86b44547a1165edeb27587804fa7ed8f","datavalue":{"value":{"entity-type":"item","numeric-id":5437627,"id":"Q5437627"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$99BEB1EF-E15D-4742-A133-4859C095A288","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2d834101e04cd6b853fe2506b0d77a9e49603276","datavalue":{"value":{"entity-type":"item","numeric-id":1966381,"id":"Q1966381"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2465175$0112CA5F-4920-46D3-886B-4E37B87EC49A","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"acbbf3c31c283bcb16df160137ec68f8798e2f2a","datavalue":{"value":"10.1016/J.JMAA.2007.06.068","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2465175$EAA5C674-8189-4F46-B94E-96144958B9DF","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a3de94cf196b4bcf857d07fbc6973cb06b0f489a","datavalue":{"value":{"entity-type":"item","numeric-id":5424266,"id":"Q5424266"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c32ca866fcf16c4947618433ab5e4196c4151ad9","datavalue":{"value":{"amount":"+0.8345038890838623","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2465175$EF761D51-3A57-4B05-8BF7-B6B95953D7D6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"fdc8814a116d9215e0c54062ab7e934be34dfd12","datavalue":{"value":{"entity-type":"item","numeric-id":3580103,"id":"Q3580103"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c5ef17595e5b5abd0260ad89a68dd9ce93b8cc3a","datavalue":{"value":{"amount":"+0.8311405777931213","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2465175$A828362D-9A48-433A-81E1-F2D8B6317668","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ea32bec3aa790b32c348744bd8af65b5ebd3f966","datavalue":{"value":{"entity-type":"item","numeric-id":3636924,"id":"Q3636924"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ebf9b914fce87184b7b7b1b347c5eaf8c244eee9","datavalue":{"value":{"amount":"+0.8162743449211121","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2465175$6EC3D997-8137-44F7-98B2-48C749B88C01","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"563967141055875899698eb48d703b7d64a07164","datavalue":{"value":{"entity-type":"item","numeric-id":2964385,"id":"Q2964385"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"842fff7cab8b4b3a517dc31d5c2913d4256bfe70","datavalue":{"value":{"amount":"+0.8122548460960388","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2465175$6CA860CD-AE2F-43F2-A3C6-A3F74AF40A29","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8697cc6cb2366957288e4c60ead9ad45503477ce","datavalue":{"value":{"entity-type":"item","numeric-id":3057465,"id":"Q3057465"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ee92076626bed6aaa32e50f4858b5a344333aa27","datavalue":{"value":{"amount":"+0.8118359446525574","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2465175$77BFE733-83AC-420F-93E2-CBC7DEFD0307","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2465175","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2465175"}}}}}