NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET (Q4906518)
From MaRDI portal
scientific article; zbMATH DE number 6139572
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET |
scientific article; zbMATH DE number 6139572 |
Statements
NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET (English)
0 references
28 February 2013
0 references
American option
0 references
put option
0 references
free boundary
0 references
convexity
0 references
integro-differential equation
0 references
near-expiry estimate
0 references
