A Note on a Moving Boundary Problem Arising in the American Put Option

DOI10.1111/1467-9590.00183zbMATH Open1152.91522OpenAlexW1995086075MaRDI QIDQ4784740FDOQ4784740

Authors: Charles Knessl 

Publication date: 11 December 2002

Published in: Studies in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9590.00183

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Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (10)

• Valuation of an American option as a moving boundary problem
• On a free boundary problem for an American put option under the CEV process
• An explicit series approximation to the optimal exercise boundary of American put options
• A Longstaff and Schwartz approach to the early election problem
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• Asymptotics of American barrier option pricing
• Installment options close to expiry
• Integral equation formulation for shout options
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• A moving boundary approach to American option pricing

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