On the behaviour near expiry for multi-dimensional American options
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Publication:2465175
DOI10.1016/j.jmaa.2007.06.068zbMath1135.91020OpenAlexW2089647120MaRDI QIDQ2465175
Publication date: 8 January 2008
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2007.06.068
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Related Items (3)
Uniform estimates near the initial state for solutions of the two-phase parabolic problem ⋮ Exercise Boundary Near Maturity for an American Option on Several Assets ⋮ Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
Cites Work
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- The Valuation of American Options on Multiple Assets
- American options on assets with dividends near expiry
- Regularity of a free boundary in parabolic potential theory
- Free boundary regularity close to initial state for parabolic obstacle problem
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
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