A long time asymptotic behavior of the free boundary for an American put
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- by Cheonghee Ahn, Hi Jun Choe and Kijung Lee PDF
- Proc. Amer. Math. Soc. 137 (2009), 3425-3436 Request permission
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.References
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Additional Information
- 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
- MR Author ID: 306382
- Email: choe@yonsei.ac.kr
- Kijung Lee
- Affiliation: Department of Mathematics, Ajou University, Suwon 443-749 Korea
- Email: kijung@ajou.ac.kr
- Received by editor(s): April 30, 2008
- Received by editor(s) in revised form: November 27, 2008, and January 27, 2009
- Published electronically: 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 2009
American Mathematical Society
The copyright for this article reverts to public domain 28 years after publication. - Journal: Proc. Amer. Math. Soc. 137 (2009), 3425-3436
- MSC (2000): Primary 91B28, 35R35; Secondary 45G05
- DOI: https://doi.org/10.1090/S0002-9939-09-09900-6
- MathSciNet review: 2515412