CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET

DOI10.1111/j.1467-9965.2007.00328.xzbMath1138.91425OpenAlexW1896332594MaRDI QIDQ3502132

Wei An Zheng, Xinfu Chen, Li-Shang Jiang, John M. Chadam

Publication date: 22 May 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00328.x

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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