The Convexity of the Free Boundary for the American put option

Hsuan-Ku Liu

Papers from arXiv.org

Abstract: This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The contribution is to propose a condition for that the early exercise boundary is a convex function.

Date: 2013-04, Revised 2017-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1304.5337

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