CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
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Publication:3502132
DOI10.1111/j.1467-9965.2007.00328.xzbMath1138.91425MaRDI QIDQ3502132
Xinfu Chen, Li-Shang Jiang, Wei An Zheng, John M. Chadam
Publication date: 22 May 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00328.x
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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Corrected random walk approximations to free boundary problems in optimal stopping, The American put is log-concave in the log-price, COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS, A long time asymptotic behavior of the free boundary for an American put
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