A mathematical analysis of the optimal exercise boundary for american put options

SIAM Journal on Mathematical Analysis

Volumn 38, Issue 5, 2006, Pages 1613-1641

  Chen, Xinfu ^a   Chadam, John ^a  

^a UNIVERSITY OF PITTSBURGH   (United States)

Author keywords

Early exercise boundary; Existence and uniqueness; Numerical and analytical approximations

Indexed keywords

APPROXIMATION ALGORITHMS; ASYMPTOTIC ANALYSIS; BOUNDARY CONDITIONS; COMPUTER SIMULATION; PROBLEM SOLVING;

AMERICAN PUT OPTIONS; EARLY EXERCISE BOUNDARY; EXISTENCE AND UNIQUENESS;

INITIAL VALUE PROBLEMS;

EID: 34648822908     PISSN: 00361410     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036141003437708     Document Type: Article

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