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
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
Journal title :
Journal of Mathematical Analysis and Applications