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Far-from-expiry behavior of the American put option on a dividend-paying asset


Authors: Xinfu Chen, Huibin Cheng and John Chadam
Journal: Proc. Amer. Math. Soc. 139 (2011), 273-282
MSC (2010): Primary 35R35, 91G20, 91G80
DOI: https://doi.org/10.1090/S0002-9939-2010-10516-6
Published electronically: July 12, 2010
MathSciNet review: 2729089
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Abstract: We provide a rigorous proof of sharp estimates for the long time behavior of the early exercise boundary and the price for an American put option on a dividend-paying asset that follows a geometric Brownian motion.


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Additional Information

Xinfu Chen
Affiliation: Department of Mathematics, University of Pittsburgh, Pittsburgh, Pennsylvania 15260

Huibin Cheng
Affiliation: Department of Mathematics, University of Pittsburgh, Pittsburgh, Pennsylvania 15260

John Chadam
Affiliation: Department of Mathematics, University of Pittsburgh, Pittsburgh, Pennsylvania 15260

DOI: https://doi.org/10.1090/S0002-9939-2010-10516-6
Received by editor(s): June 1, 2009
Received by editor(s) in revised form: December 22, 2009, and March 3, 2010
Published electronically: July 12, 2010
Additional Notes: The first author acknowledges support from NSF grant DMS-0504691.
The second and third authors acknowledge support from NSF grant DMS-0707953.
The authors would like to thank the referees for their comments, which have improved the presentation of the results.
Communicated by: Walter Craig
Article copyright: © Copyright 2010 American Mathematical Society
The copyright for this article reverts to public domain 28 years after publication.