Ekström, Erik (2004) Convexity of the optimal stopping boundary for the American put option. Journal of Mathematical Analysis and Applications, 299 (1). pp. 147-156. ISSN 0022-247X
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Abstract
We show that the optimal stopping boundary for the American put option is convex in the standard Black-Scholes model. The methods are adapted from ice-melting problems and rely upon studying the behavior of level curves of solutions to certain parabolic differential equations.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Free boundary problems, Optimal stopping, Options |
| Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations MSC 2010, the AMS's Mathematics Subject Classification > 91 Game theory, economics, social and behavioral sciences |
| Depositing User: | Dr Erik Ekström |
| Date Deposited: | 26 May 2006 |
| Last Modified: | 20 Oct 2017 14:12 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/300 |
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