CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET

Xinfu Chen, John Chadam, Lishang Jiang and Weian Zheng

Mathematical Finance, 2008, vol. 18, issue 1, 185-197

Abstract: We show that the optimal exercise boundary for the American put option with non‐dividend‐paying asset is convex. With this convexity result, we then give a simple rigorous argument providing an accurate asymptotic behavior for the exercise boundary near expiry.

Date: 2008
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https://doi.org/10.1111/j.1467-9965.2007.00328.x

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