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The Convexity of the Free Boundary for the American put option

This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The contribution is to propose a condition for that the early exercise boundary is a convex function.
Year of publication:
2013-04
Authors: Liu, Hsuan-Ku
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
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Persistent link: https://www.econbiz.de/10011095729
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