Characterization of the American Put Option Using Convexity
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Characterization of the American Put Option Using Convexity
ABSTRACT Understanding the behaviour of the American put option is one of the classic problems in mathematical finance. Considerable efforts have been made to understand the asymptotic expansion of the optimal early exercise boundary for small time near expiry. Here we focus on the large-time expansion of the boundary. Based on a recent development of the convexity property, we are able to esta...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2011
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486x.2010.524359