CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION

DOI10.1142/S0219024921500047zbMath1467.91188arXiv1912.05438MaRDI QIDQ4990919

Yerkin Kitapbayev

Publication date: 1 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.05438

zbMATH Keywords

integral equationoptimal stoppinggeometric Brownian motionfree-boundary problemAmerican put option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Optimal stopping with private information
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• ON THE AMERICAN OPTION PROBLEM