A LONG TIME ASYMPTOTIC BEHAVIOR OF THE FREE BOUNDARY FOR AN AMERICAN PUT

作者：Ahn Cheonghee^*; Choe Hi Jun; Lee Kijung

来源：Proceedings of the American Mathematical Society, 2009, 137(10): 3425-3436.

DOI：10.1090/s0002-9939-09-09900-6

• American put option
• optimal exercise boundary
• free boundary problem

In this paper we obtain a long time asymptotic behavior of the optimal exercise boundary for an American put option. This is clone by analyzing an integral equation for the rescaled exercise boundary derived from the corresponding Black-Scholes partial differential equation with a free boundary.

• 出版日期2009-10