NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET (Q4906518): Difference between revisions
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scientific article; zbMATH DE number 6139572
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET |
scientific article; zbMATH DE number 6139572 |
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NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET (English)
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28 February 2013
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American option
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put option
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free boundary
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convexity
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integro-differential equation
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near-expiry estimate
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