A note on a moving boundary problem arising in the American put option

Studies in Applied Mathematics

Volumn 107, Issue 2, 2001, Pages 157-183

  Knessl, Charles ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INTEGRAL EQUATIONS; NONLINEAR EQUATIONS; PERTURBATION TECHNIQUES;

AMERICAN PUT OPTION; ASYMPTOTIC LIMITS; BLACK-SCHOLES MODEL; INTEREST RATES; MOVING BOUNDARIES; MOVING BOUNDARY PROBLEMS; NONLINEAR INTEGRAL EQUATIONS; SINGULAR PERTURBATIONS METHODS;

INVESTMENTS;

EID: 0039896024     PISSN: 00222526     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9590.00183     Document Type: Article

References (8)

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3. G. BARONE-ADESI and R. ELLIOTT, Approximations for the values of American options, Stochast. Anal. Appl. 9:115-131 (1991).
4. G. BARLES, J. BURDEAU, M. ROMANO, and N. SAMSOEN, Critical stock price near expiration, Math. Fin. 5:77-95 (1995).
5. R. A. KUSKE and J. B. KELLER, Optimal exercise boundary for an American put option, Appl. Math. Finance 5:107-116 (1998).
6. R. STAMICAR, D. SEVCOVIC, and J. CHADAM, The early exercise boundary for the American put near expiry: Numerical approximation, Preprint.
7. X. CHEN, J. CHADAM, and R. STAMICAR, The optimal early exercise boundary for American put options: Analytic and numeric approximations, Preprint.
8. J. D. EVANS, R. KUSKE, and J. B. KELLER, American options with dividends near expiry, Preprint.