The American put is log-concave in the log-price

Ekström, Erik and Tysk, Johan (2006) The American put is log-concave in the log-price. Journal of Mathematical Analysis and Applications, 314 (2). pp. 710-723. ISSN 0022-247X

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We show that the American put option price is log-concave as a function of the log-price of the underlying asset. Thus the elasticity of the price decreases with increasing stock value. We also consider related contracts of American type, and we provide an example showing that not all American option prices are log-concave in the stock log-price.

Item Type: Article
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations
Depositing User: Dr Erik Ekström
Date Deposited: 24 May 2006
Last Modified: 20 Oct 2017 14:12

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