A long time asymptotic behavior of the free boundary for an American put
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Publication:3182581
DOI10.1090/S0002-9939-09-09900-6zbMath1180.91281OpenAlexW2108666597MaRDI QIDQ3182581
Kijung Lee, Cheonghee Ahn, Hi Jun Choe
Publication date: 9 October 2009
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0002-9939-09-09900-6
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Singular nonlinear integral equations (45G05)
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Perpetual Options on Multiple Underlyings ⋮ Far-from-expiry behavior of the American put option on a dividend-paying asset
Cites Work
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