Proceedings of the American Mathematical Society

Author(s): Cheonghee Ahn; Hi Jun Choe; Kijung Lee
Journal: Proc. Amer. Math. Soc. 137 (2009), 3425-3436.
MSC (2000): Primary 91B28, 35R35; Secondary 45G05
Posted: March 30, 2009
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Abstract: In this paper we obtain a long time asymptotic behavior of the optimal exercise boundary for an American put option. This is done by analyzing an integral equation for the rescaled exercise boundary derived from the corresponding Black-Scholes partial differential equation with a free boundary.

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Retrieve articles in Proceedings of the American Mathematical Society with MSC (2000): 91B28, 35R35, 45G05

Cheonghee Ahn
Affiliation: Department of Mathematics, Yonsei University, Seoul 120-749 Korea
Email: purehope@yonsei.ac.kr

Hi Jun Choe
Affiliation: Department of Mathematics, Yonsei University, Seoul 120-749 Korea
Email: choe@yonsei.ac.kr

Kijung Lee
Affiliation: Department of Mathematics, Ajou University, Suwon 443-749 Korea
Email: kijung@ajou.ac.kr

DOI: 10.1090/S0002-9939-09-09900-6
PII: S 0002-9939(09)09900-6
Keywords: American put option, optimal exercise boundary, free boundary problem
Received by editor(s): April 30, 2008,
Received by editor(s) in revised form: November 27, 2008, and January 27, 2009
Posted: March 30, 2009
Additional Notes: The second author is supported by the Korea Research Foundation Grant funded by the Korean Government (MOEHRD, Basic Research Promotion Fund) KRF-2007-314-C00020.
The third author is supported by BK21 project of Department of Mathematics in Yonsei University (R01-2004-000-10072-0) and settlement research fund by Ajou University.
Communicated by: Walter Craig
Copyright of article: Copyright 2009, American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.

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