Convexity of the exercise boundary of the American put option on a zero dividend asset

被引：1

作者：

Chen, Xinfu ^{[1
]}

Chadam, John ^{[1
]}

Jiang, Lishang ^{[2
]}

Zheng, Weian ^{[3
]}

机构：

[1] Univ Pittsburgh, Dept Math, Pittsburgh, PA 15260 USA

[2] Tongji Univ, Shanghai 200092, Peoples R China

[3] Univ Calif Irvine, Irvine, CA USA

来源：

MATHEMATICAL FINANCE | 2008年 / 18卷 / 01期

关键词：

American put option on a zero dividend asset; convexity of the early exercise boundary; free boundary problem; obstacle problem; near-expiry estimates;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the optimal exercise boundary for the American put option with non-dividend-paying asset is convex. With this convexity result, we then give a simple rigorous argument providing an accurate asymptotic behavior for the exercise boundary near expiry.

引用

页码：185 / 197

页数：13

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