Characterization of the American put option using convexity

DOI10.1080/1350486X.2010.524359zbMATH Open1239.91169MaRDI QIDQ2889593FDOQ2889593

Authors: Dejun Xie, David A. Edwards, Gilberto Schleiniger, QingHua Zhu 

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Recommendations

• 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
• On the Early Exercise Boundary of the American Put Option
• A long time asymptotic behavior of the free boundary for an American put
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zbMATH Keywords

asymptotic analysisAmerican put optionfree boundary-value problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• On the asymptotic free boundary for the American put option problem
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• ON THE AMERICAN OPTION PROBLEM
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Optimal exercise boundary for an American put option

Cited In (2)

• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• An improved method for pricing and hedging long dated American options

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