A long time asymptotic behavior of the free boundary for an American put

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

zbMATH Keywords

free boundary problemAmerican put optionoptimal exercise boundary

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Singular nonlinear integral equations (45G05)

Related Items

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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• Convexity of the optimal stopping boundary for the American put option
• Stochastic calculus for finance. II: Continuous-time models.
• The total variation of solutions of parabolic differential equations and a maximum principle in unbounded domains
• On the Early Exercise Boundary of the American Put Option
• 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
• Optimal Stopping and the American Put