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Regularity of the free boundary for the American put option
1. | Department of Mathematics, University of Pittsburgh, Pittsburgh, PA 15260 |
2. | Department of Mathematics and Statistics, McMaster University, Hamilton, ON L8S 4K1, Canada |
References:
[1] |
E. Bayraktar and H. Xing, Analysis of the optimal exercise boundary of American option for jump diffusions,, SIAM. J. Math. Anal., 41 (2009), 825.
doi: 10.1137/080712519. |
[2] |
A. Bensoussan, On the theory of option pricing,, Acta Appl. Math., 2 (1984), 139.
|
[3] |
A. Bensoussan & J.-L. Lions, "Application of Variational Inequalities in Stochastic Control,", Studies in Mathematics and its Applications, 12 (1982).
|
[4] |
X. Chen and J. Chadam, A mathematical analysis of the optimal boundary for American put options,, SIAM J. Math. Anal., 38 (): 1613.
|
[5] |
Xinfu Chen and J. Chadam, Analytic and numerical approximations for the early exercise boundary for American put options,, Dyn. Cont. Disc. and Impulsive Sys., 10 (2003), 649.
|
[6] |
Xinfu Chen, J. Chadam and Huibin Cheng, Non-convexity of the optimal exercise boundary for an American put option on a dividend-paying asset,, Mathematical Finance, (). Google Scholar |
[7] |
Xinfu Chen, J. Chadam, L. Jiang and W. Zheng, Convexity of the exercise boundary of the American put option on a zero dividend asset,, Math. Finance, 18 (2008), 185.
doi: 10.1111/j.1467-9965.2007.00328.x. |
[8] |
A. Friedman, "Variational Principles and Free Boundary Problems,", A Wiley-Interscience Publication, (1982).
|
[9] |
A. Friedman, "Partial Diffferential Equations of Parabolic Type,", Prentice-Hall, (1964).
|
[10] |
A. Friedman, Analyticity of the free boundary for the Stefan problem,, Arch. Rational Mech. Anal., 61 (1976), 97.
doi: 10.1007/BF00249700. |
[11] |
L. Jiang, Existence and differentiability of the solution of a two phase Stefan problem for quasi-linear parabolic equations,, Chinese Math. Acta, 7 (1965), 481.
|
[12] |
D. Lamberton and M. Mikou, The critical price for the American put in an exponential Lévy model,, Finance Stoch., 12 (2008), 561.
doi: 10.1007/s00780-008-0073-9. |
[13] |
P. Laurence and S. Salsa, Regularity of the free boundary of an American option on several assets,, Comm. on Pure and Appl. Math., 62 (2009), 969.
doi: 10.1002/cpa.20268. |
[14] |
H. P. McKean, Jr., Appendix: A free boundary problem for the heat equation arising from a problem in mathematical economics,, Industrial Management Review, 6 (1965), 32. Google Scholar |
[15] |
P. van Moerbeke, On optimal stopping and free boundary problems,, Arch. Rational Mech. Anal., 60 (): 101.
|
[16] |
C. Yang, L. Jiang and B. Bian, Free boundary and American option in a jump-diffusion model,, Euro. J. of Applied Mathematics, 17 (2006), 95.
doi: 10.1017/S0956792505006340. |
[17] |
P. Wilmott, J. Dewynne and S. Howison, "The Mathematics of Financial Derivatives. A Student Introduction,", Cambridge University Press, (1995).
|
show all references
References:
[1] |
E. Bayraktar and H. Xing, Analysis of the optimal exercise boundary of American option for jump diffusions,, SIAM. J. Math. Anal., 41 (2009), 825.
doi: 10.1137/080712519. |
[2] |
A. Bensoussan, On the theory of option pricing,, Acta Appl. Math., 2 (1984), 139.
|
[3] |
A. Bensoussan & J.-L. Lions, "Application of Variational Inequalities in Stochastic Control,", Studies in Mathematics and its Applications, 12 (1982).
|
[4] |
X. Chen and J. Chadam, A mathematical analysis of the optimal boundary for American put options,, SIAM J. Math. Anal., 38 (): 1613.
|
[5] |
Xinfu Chen and J. Chadam, Analytic and numerical approximations for the early exercise boundary for American put options,, Dyn. Cont. Disc. and Impulsive Sys., 10 (2003), 649.
|
[6] |
Xinfu Chen, J. Chadam and Huibin Cheng, Non-convexity of the optimal exercise boundary for an American put option on a dividend-paying asset,, Mathematical Finance, (). Google Scholar |
[7] |
Xinfu Chen, J. Chadam, L. Jiang and W. Zheng, Convexity of the exercise boundary of the American put option on a zero dividend asset,, Math. Finance, 18 (2008), 185.
doi: 10.1111/j.1467-9965.2007.00328.x. |
[8] |
A. Friedman, "Variational Principles and Free Boundary Problems,", A Wiley-Interscience Publication, (1982).
|
[9] |
A. Friedman, "Partial Diffferential Equations of Parabolic Type,", Prentice-Hall, (1964).
|
[10] |
A. Friedman, Analyticity of the free boundary for the Stefan problem,, Arch. Rational Mech. Anal., 61 (1976), 97.
doi: 10.1007/BF00249700. |
[11] |
L. Jiang, Existence and differentiability of the solution of a two phase Stefan problem for quasi-linear parabolic equations,, Chinese Math. Acta, 7 (1965), 481.
|
[12] |
D. Lamberton and M. Mikou, The critical price for the American put in an exponential Lévy model,, Finance Stoch., 12 (2008), 561.
doi: 10.1007/s00780-008-0073-9. |
[13] |
P. Laurence and S. Salsa, Regularity of the free boundary of an American option on several assets,, Comm. on Pure and Appl. Math., 62 (2009), 969.
doi: 10.1002/cpa.20268. |
[14] |
H. P. McKean, Jr., Appendix: A free boundary problem for the heat equation arising from a problem in mathematical economics,, Industrial Management Review, 6 (1965), 32. Google Scholar |
[15] |
P. van Moerbeke, On optimal stopping and free boundary problems,, Arch. Rational Mech. Anal., 60 (): 101.
|
[16] |
C. Yang, L. Jiang and B. Bian, Free boundary and American option in a jump-diffusion model,, Euro. J. of Applied Mathematics, 17 (2006), 95.
doi: 10.1017/S0956792505006340. |
[17] |
P. Wilmott, J. Dewynne and S. Howison, "The Mathematics of Financial Derivatives. A Student Introduction,", Cambridge University Press, (1995).
|
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