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

DOI10.1515/GMJ-2016-0017zbMATH Open1371.91183OpenAlexW2340249941MaRDI QIDQ313736FDOQ313736

Authors: Nasir Rehman, S. Hussain, Wasim Ul-Haq 

Publication date: 12 September 2016

Published in: Georgian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/gmj-2016-0017

Recommendations

• American options exercise boundary when the volatility changes randomly
• Area estimation between the early exercise boundaries for the American put option with different local volatilities
• Continuity estimate of the optimal exercise boundary with respect to volatility for the American foreign exchange put option
• The American put option in a one-dimensional diffusion model with level-dependent volatility
• Analysis of the optimal exercise boundary of American options for jump diffusions

zbMATH Keywords

diffusion modelstochastic volatilityvalue functionparabolic obstacle problemAmerican put optionoptimal exercise boundary

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Optimal Stopping and the American Put
• Title not available (Why is that?)
• Robustness of the Black and Scholes Formula
• Some mathematical results in the pricing of American options
• Volatility misspecification, option pricing and superreplication via coupling
• Critical price near maturity for an American option on a dividend-paying stock.
• Exercise regions of American options on several assets
• Properties of American option prices
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate

Cited In (7)

• Sensitivity of American option prices with different strikes, maturities and volatilities
• Optimal exercise boundary for an American put option
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
• Continuity estimate of the optimal exercise boundary with respect to volatility for the American foreign exchange put option
• The American put option in a one-dimensional diffusion model with level-dependent volatility
• Continuity estimates with respect to volatility for the American foreign exchange option
• Analysis of exercise boundary of American interest rate option

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