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

DOI10.1111/1467-9590.00183zbMath1152.91522OpenAlexW1995086075MaRDI QIDQ4784740

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

Mathematics Subject Classification ID

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

Related Items (7)

LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS ⋮ A Longstaff and Schwartz approach to the early election problem ⋮ Installment options close to expiry ⋮ 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 ⋮ INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS ⋮ THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS

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