Convexity of the optimal stopping boundary for the American put option

DOI10.1016/j.jmaa.2004.06.018zbMath1129.91326OpenAlexW2068267494MaRDI QIDQ1766723

Erik Ekström

Publication date: 8 March 2005

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2004.06.018

zbMATH Keywords

Optimal stoppingFree boundary problemOptions

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20)

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Cites Work

• The pricing of the American option
• Convexity of the free boundary in the Stefan problem and in the dam problem
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• ON THE AMERICAN OPTION PROBLEM
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