The free boundary problem of American butterfly option

DOI10.1002/mma.2784zbMath1280.35159OpenAlexW1991634013MaRDI QIDQ2874186

Chonghu Guan, Fa-huai Yi

Publication date: 29 January 2014

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.2784

zbMATH Keywords

asymptotic behaviorfree boundaryAmerican butterfly options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS

Cites Work

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• Asymptotic behavior of solutions to the compressible Navier-Stokes equation in a cylindrical domain
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Critical price near maturity for an American option on a dividend-paying stock.
• Convexity of the optimal stopping boundary for the American put option
• Asymptotic behavior of solution for a class of reaction diffusion equations
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options

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