Convexity of the exercise boundary of the american put option on a zero dividend asset

Mathematical Finance

Volumn 18, Issue 1, 2008, Pages 185-197

  Chen, Xinfu ^a   Chadam, John ^a   Jiang, Lishang ^b   Zheng, Weian ^c  

^a UNIVERSITY OF PITTSBURGH   (United States)

^b TONGJI UNIVERSITY   (China)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

American put option on a zero dividend asset; Convexity of the early exercise boundary; Free boundary problem; Near expiry estimates; Obstacle problem

Indexed keywords

EID: 37249065693     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00328.x     Document Type: Article

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