AREA ESTIMATION BETWEEN THE EARLY EXERCISE BOUNDARIES FOR THE AMERICAN PUT OPTION WITH DIFFERENT LOCAL VOLATILITIES

作者：Ahmad Naveed; Saleem Muhammad Shoaib; Rehman Nasir; Hussain Sultan; Shashiashvili Malkhaz^*

来源：SIAM Journal on Control and Optimization, 2013, 51(3): 1988-2004.

DOI：10.1137/110845896

• American put option
• parabolic obstacle problem
• early exercise boundaries
• area estimation
• local volatility functions

In this paper, an estimate of the area between the early exercise boundaries is established for the American put option with different local volatility functions through the uniform distance between the volatilities. The constant factor on the right-hand side of the estimate is given in explicit form. The derivation of the estimate is based on the detailed analysis of the related parabolic obstacle problem with different principal parts in the corresponding differential operator.

• 出版日期2013