Characterization of the American Put Option Using Convexity
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Publication:2889593
DOI10.1080/1350486X.2010.524359zbMath1239.91169MaRDI QIDQ2889593
David A. Edwards, QingHua Zhu, Gilberto Schleiniger, Dejun Xie
Publication date: 8 June 2012
Published in: Applied Mathematical Finance (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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- On the asymptotic free boundary for the American put option problem
- CRITICAL STOCK PRICE NEAR EXPIRATION
- CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- Optimal exercise boundary for an American put option
- ON THE AMERICAN OPTION PROBLEM