Convexity of the optimal stopping boundary for the American put option

Journal of Mathematical Analysis and Applications

Volumn 299, Issue 1, 2004, Pages 147-156

  Ekström, Erik ^a  

^a Department of Mathematics ^*  (Sweden)

Author keywords

Free boundary problem; Optimal stopping; Options

Indexed keywords

EID: 4644283744     PISSN: 0022247X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmaa.2004.06.018     Document Type: Article

References (15)

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