The American put is log-concave in the log-price

DOI10.1016/J.JMAA.2005.04.025MaRDI QIDQ2581491zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Johan Tysk

Publication date 10 January 2006

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.2005.04.025

zbMATH Keywords

American put optionslog concave functionprice elasticity

Mathematics Subject Classification ID

Recommendations

• Properties of American option prices
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• Optimal Stopping and the American Put
• American prices embedded in European prices
• Convergence of the Critical Price In the Approximation of American Options

Cites work

• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• CRITICAL STOCK PRICE NEAR EXPIRATION
• scientific article; zbMATH DE number 1302646 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 797366 (Why is no real title available?)
• On diffusion semigroups preserving the log-concavity
• On optimal stopping and free boundary problems
• On the pricing of American options
• Optimal Stopping and the American Put
• Preservation of convexity of solutions to parabolic equations
• Properties of American option prices
• Robustness of the Black and Scholes Formula
• The pricing of the American option
• Volatility misspecification, option pricing and superreplication via coupling

Cited in

(3)

• Comparison of numerical and analytical approximations of the early exercise boundary of American put options
• MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
• Convexity theory for the term structure equation

This page was built for publication: The American put is log-concave in the log-price

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2581491)