Far-from-expiry behavior of the American put option on a dividend-paying asset

DOI10.1090/S0002-9939-2010-10516-6zbMath1210.35303MaRDI QIDQ3082296

Huibin Cheng, Xinfu Chen, John M. Chadam

Publication date: 10 March 2011

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

Brownian motionAmerican put optiondividend-paying asset

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35)

Related Items (1)

Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model

Cites Work

• A long time asymptotic behavior of the free boundary for an American put
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET

This page was built for publication: Far-from-expiry behavior of the American put option on a dividend-paying asset