Title of article
Convexity of the optimal stopping boundary for the American put option
Author/Authors
Erik Ekstr?m، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2004
Pages
10
From page
147
To page
156
Abstract
We show that the optimal stopping boundary for the American put option is convex in the standard
Black–Scholes model. The methods are adapted from ice-melting problems and rely upon studying
the behavior of level curves of solutions to certain parabolic differential equations.
2004 Elsevier Inc. All rights reserved
Keywords
free boundary problem , optimal stopping , Options
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2004
Journal title
Journal of Mathematical Analysis and Applications
Record number
931506
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