Mathematical analysis of the early exercise boundary for the American put option

MaRDI QIDQ5091287zbMATH OpenFDO

Authors Malkhaz Shashiashvili

Publication date 26 July 2022

Full work available at URL http://www.viam.science.tsu.ge/enl_ses/vol31/Shashiashvili.pdf

zbMATH Keywords

American put optionearly exercise boundarymonotonicity in volatilityoptimal stopping

Mathematics Subject Classification ID

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

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Cited in

(2)

• On the integral relationship between the early exercise boundary and the value function of the American put option
• Area estimation between the early exercise boundaries for the American put option with different local volatilities

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