Convexity of the optimal stopping boundary for the American put option
type: Item
instance of: scholarly article
title: Convexity of the optimal stopping boundary for the American put option
zbMATH Open document ID: 1129.91326
author: Erik Ekström
published in: Journal of Mathematical Analysis and Applications
publication date: 2005-03-08T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 35K20
zbMATH DE Number: 2141773
zbMATH Keywords: Free boundary problem
zbMATH Keywords: Optimal stopping
zbMATH Keywords: Options
MaRDI profile type: Publication
full work available at URL: j.jmaa.2004.06.018
OpenAlex ID: W2068267494
cites work: Q5285464
cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
cites work: A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
cites work: Q4746189
cites work: Convexity of the free boundary in the Stefan problem and in the dam problem
cites work: Optimal Stopping and the American Put
cites work: Q4368791
cites work: Optimal exercise boundary for an American put option
cites work: Q4848526
cites work: The pricing of the American option
cites work: ON THE AMERICAN OPTION PROBLEM
DOI: 10.1016/J.JMAA.2004.06.018
description: scientific article; zbMATH DE number 2141773