Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends

DOI10.1137/100800889zbMath1247.91186arXiv0911.5117OpenAlexW2151175075MaRDI QIDQ5388675

Benjamin Jourdain, Michel H. Vellekoop

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.5117

zbMATH Keywords

optimal stoppingAmerican optionsdividendsearly exercise boundarysmooth contact property

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60)

Related Items (2)

Regularity of the American put option in the Black-Scholes model with general discrete dividends ⋮ An integral equation for American put options on assets with general dividend processes

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