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

DOI10.1515/GMJ-2016-0017MaRDI QIDQ313736zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
• Critical price near maturity for an American option on a dividend-paying stock.
• Exercise regions of American options on several assets
• Optimal Stopping and the American Put
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Properties of American option prices
• Robustness of the Black and Scholes Formula
• Some mathematical results in the pricing of American options
• Stochastic calculus for finance. II: Continuous-time models.
• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
• Volatility misspecification, option pricing and superreplication via coupling

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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