On the asymptotic free boundary for the American put option problem
نویسندگان
چکیده
منابع مشابه
On the Optimal Exercise Boundary for an American Put Option
An American put option is a derivative financial instrument that gives its holder the right but not the obligation to sell an underlying security at a pre-determined price. American options may be exercised at any time prior to expiry at the discretion of the holder, and the decision as to whether or not to exercise leads to a free boundary problem. In this paper, we examine the behavior of the...
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15 صفحه اولOptimal exercise boundary for an American put option
The optimal exercise boundary near the expiration time is determined for an American put option. It is obtained by using Green's theorem to convert the boundary value problem for the price of the option into an integral equation for the optimal exercise boundary. This integral equation is solved asymptotically for small values of the time to expiration. The leading term in the asymptotic soluti...
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We prove that the perpetual American put option price of an exponential Lévy process whose jumps come from a compound Poisson process is the classical solution of its associated quasi-variational inequality, that it is C except at the stopping boundary and that it is C everywhere (i.e. the smooth pasting condition always holds). We prove this fact by constructing a sequence of functions, each o...
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2006
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2005.03.082