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

DOI10.1016/j.jmaa.2005.04.025zbMath1083.91056MaRDI QIDQ2581491

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 options; price elasticity; log concave function

Mathematics Subject Classification ID

Related Items

Convexity theory for the term structure equation, 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

Cites Work

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