Characterization of the American put option using convexity

DOI10.1080/1350486X.2010.524359MaRDI QIDQ2889593zbMATH OpenFDO

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)

zbMATH Keywords

asymptotic analysisAmerican put optionfree boundary-value problem

Mathematics Subject Classification ID

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

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
• Optimal exercise boundary for an American put option

Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• 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
• ON THE AMERICAN OPTION PROBLEM
• On the asymptotic free boundary for the American put option problem
• Optimal exercise boundary for an American put option

Cited in

(2)

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

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