A long time asymptotic behavior of the free boundary for an American put

Cheonghee Ahn, Hi Jun Choe, Kijung Lee

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

In this paper we obtain a long time asymptotic behavior of the optimal exercise boundary for an American put option. This is done by analyzing an integral equation for the rescaled exercise boundary derived from the corresponding Black-Scholes partial differential equation with a free boundary.

Original languageEnglish
Pages (from-to)3425-3436
Number of pages12
JournalProceedings of the American Mathematical Society
Volume137
Issue number10
DOIs
Publication statusPublished - 2009 Oct 1

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Long-time Asymptotics
Long-time Behavior
Free Boundary
Exercise
Partial differential equations
Integral equations
Asymptotic Behavior
Black-Scholes
Integral Equations
Partial differential equation

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Applied Mathematics

Cite this

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A long time asymptotic behavior of the free boundary for an American put. / Ahn, Cheonghee; Choe, Hi Jun; Lee, Kijung.

In: Proceedings of the American Mathematical Society, Vol. 137, No. 10, 01.10.2009, p. 3425-3436.

Research output: Contribution to journalArticle

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