NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET
From MaRDI portal
Publication:4906518
DOI10.1111/j.1467-9965.2011.00500.xzbMath1282.91326OpenAlexW2170104298MaRDI QIDQ4906518
Xinfu Chen, Huibin Cheng, John M. Chadam
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://d-scholarship.pitt.edu/7857/1/ETDChengv4.pdf
Related Items
A new integral equation formulation for American put options ⋮ Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model ⋮ Analysis of an optimal stopping problem arising from hedge fund investing ⋮ Far-from-expiry behavior of the American put option on a dividend-paying asset ⋮ Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
Cites Work
- Unnamed Item
- Unnamed Item
- Variational inequalities and the pricing of American options
- On the theory of option pricing
- On the pricing of American options
- On optimal stopping and free boundary problems
- Critical price near maturity for an American option on a dividend-paying stock.
- Convexity of the optimal stopping boundary for the American put option
- The critical price for the American put in an exponential Lévy model
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Approximations for the values of american options
- Optimization Problems in the Theory of Continuous Trading
- CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
- Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Optimal exercise boundary for an American put option
- The Mathematics of Financial Derivatives
This page was built for publication: NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET
