Closed form optimal exercise boundary of the American put option (Q4990919)
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scientific article; zbMATH DE number 7353441
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| default for all languages | No label defined |
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| English | Closed form optimal exercise boundary of the American put option |
scientific article; zbMATH DE number 7353441 |
Statements
CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION (English)
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1 June 2021
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American put option
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geometric Brownian motion
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optimal stopping
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free-boundary problem
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integral equation
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0.8370059728622437
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0.818991482257843
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0.8177584409713745
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0.8150290250778198
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0.8150290250778198
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