Characterization of the American Put Option Using Convexity

DOI10.1080/1350486X.2010.524359zbMath1239.91169MaRDI QIDQ2889593

Gilberto Schleiniger, Dejun Xie, QingHua Zhu, David A. Edwards

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

asymptotic analysisAmerican put optionfree boundary-value problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

An improved method for pricing and hedging long dated American options

Cites Work

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• On the asymptotic free boundary for the American put option problem
• CRITICAL STOCK PRICE NEAR EXPIRATION
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Optimal exercise boundary for an American put option
• ON THE AMERICAN OPTION PROBLEM

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