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Optimal exercise boundary for an American put option
The optimal exercise boundary near the expiration time is determined for an American put option. It is obtained by using Green's theorem to convert the boundary value problem for the price of the option into an integral equation for the optimal exercise boundary. This integral equation is solved asymptotically for small values of the time to expiration.
Rachel A. Kuske, Joseph B. Keller
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Analysis of the optimal exercise boundary of American put options with delivery lags [PDF]
25 pages, 5 ...
Gechun Liang
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Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions [PDF]
In this paper we show that the optimal exercise boundary / free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at the maturity). This differentiability result has been established by Yang et al.
Erhan Bayraktar, Hao Xing
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A simple approximation formula for calculating theĀ optimal exercise boundary of American puts
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Song-Ping Zhu
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Optimal exercise boundary via intermediate function with jump risk
Japan Journal of Industrial and Applied Mathematics, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yong-Ki Ma, Beom Jin Kim, Hi Jun Choe
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A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
SIAM Journal on Mathematical Analysis, 2007We study a free boundary problem arising from American put options. In particular we prove existence and uniqueness for this problem, and we derive and rigorously prove high order asymptotic expansions for the early exercise boundary near expiry. We provide four approximations for the boundary: one is explicit and is valid near expiry (weeks); two ...
Xinfu Chen, John Chadam
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