Area Estimation between the Early Exercise Boundaries for the American Put Option with Different Local Volatilities

DOI10.1137/110845896zbMath1273.49013OpenAlexW2035155024MaRDI QIDQ2848573

Sultan Hussain, Nasir Rehman, Malkhaz Shashiashvili, Naveed Ahmad, Muhammad Shoaib Saleem

Publication date: 26 September 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110845896

zbMATH Keywords

area estimationparabolic obstacle problemAmerican put optionearly exercise boundarieslocal volatility functions

Mathematics Subject Classification ID

Variational inequalities (49J40) Financial applications of other theories (91G80)

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