CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION
نویسندگان
چکیده
We present three models of stock price with time-dependent interest rate, dividend yield, and volatility, respectively, that allow for explicit forms the optimal exercise boundary finite maturity American put option. The satisfies nonlinear integral equation Volterra type. choose parameters model so can be solved in closed form. also define contracts type strike support boundary.
منابع مشابه
On the Optimal Exercise Boundary for an American Put Option
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2021
ISSN: ['1793-6322', '0219-0249']
DOI: https://doi.org/10.1142/s0219024921500047