Area estimation between the early exercise boundaries for the American put option with different local volatilities

DOI10.1137/110845896MaRDI QIDQ2848573zbMATH OpenOpenAlexFDO

Authors Naveed Ahmad, Muhammad Shoaib Saleem, Nasir Rehman, S. Hussain, Malkhaz Shashiashvili

Publication date 26 September 2013

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/110845896

zbMATH Keywords

area estimationparabolic obstacle problemAmerican put optionearly exercise boundarieslocal volatility functions

Mathematics Subject Classification ID

Variational inequalities (49J40) Financial applications of other theories (91G80)

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Cited in

(1)

• Sensitivity analysis of the optimal exercise boundary of the American put option

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