On the asymptotic free boundary for the American put option problem

DOI10.1016/j.jmaa.2005.03.082zbMath1172.91319arXivmath/0412332OpenAlexW2567774101WikidataQ59288479 ScholiaQ59288479MaRDI QIDQ2577472

Haakan Hedenmalm

Publication date: 22 December 2005

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0412332

zbMATH Keywords

heat equationobstacle problemparabolic free boundary problemAmerican put option

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

Characterization of the American Put Option Using Convexity ⋮ On the behaviour near expiry for multi-dimensional American options

Cites Work

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• The pricing of the American option
• An optimal stopping problem with linear reward
• Classical solutions of the one-dimensional, two-phase Stefan problem
• Analyticity of the free boundary for the Stefan problem
• On optimal stopping and free boundary problems
• Convexity of the optimal stopping boundary for the American put option
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes

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