Sensitivity analysis of the optimal exercise boundary of the American put option

DOI10.1515/gmj-2016-0017zbMath1371.91183OpenAlexW2340249941MaRDI QIDQ313736

Nasir Rehman, Sultan Hussain, Wasim Ul-Haq

Publication date: 12 September 2016

Published in: Georgian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/gmj-2016-0017

zbMATH Keywords

stochastic volatilityvalue functiondiffusion modelparabolic obstacle problemAmerican put optionoptimal exercise boundary

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Optimal Stopping and the American Put
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
• Optimal stopping, free boundary, and American option in a jump-diffusion model

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