NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET

DOI10.1111/j.1467-9965.2011.00500.xzbMath1282.91326MaRDI QIDQ4906518

Xinfu Chen, Huibin Cheng, John M. Chadam

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://d-scholarship.pitt.edu/7857/1/ETDChengv4.pdf

zbMATH Keywords

convexity; integro-differential equation; free boundary; American option; put option; near-expiry estimate

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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