NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND-PAYING ASSET

被引：9

作者：

Chen, Xinfu ^{[1
]}

Cheng, Huibin ^{[1
]}

Chadam, John ^{[1
]}

机构：

[1] Univ Pittsburgh, Dept Math, Pittsburgh, PA 15260 USA

来源：

MATHEMATICAL FINANCE | 2013年 / 23卷 / 01期

基金：

美国国家科学基金会;

关键词：

American option; put option; free boundary; convexity; integro-differential equation; near-expiry estimate; CRITICAL PRICE; APPROXIMATIONS; CONVEXITY; VALUES; STOCK;

D O I：

10.1111/j.1467-9965.2011.00500.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We prove that when the dividend rate of the underlying asset following a geometric Brownian motion is slightly larger than the risk-free interest rate, the optimal exercise boundary of the American put option is not convex.

引用

页码：169 / 185

页数：17

共 31 条

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Aitsahlia F., 2001, Journal of Computational Finance, V4, P85

[2]

[Anonymous], 2016, Options, Futures, and Other Derivatives

[3]

BARLES G, 1995, MATH FINANC, V5, P77

[4] EFFICIENT ANALYTIC APPROXIMATION OF AMERICAN OPTION VALUES [J].