Regularity of the free boundary for the American put option

DOI10.3934/DCDSB.2012.17.1751zbMath1247.35176OpenAlexW2321811916MaRDI QIDQ449272

Huibin Cheng, Xinfu Chen

Publication date: 12 September 2012

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2012.17.1751

zbMATH Keywords

regularityfree boundary problemAmerican put option

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Free boundary problems for PDEs (35R35) Corporate finance (dividends, real options, etc.) (91G50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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