In this paper we obtain a long time asymptotic behavior of the optimal exercise boundary for an American put option. This is done by analyzing an integral equation for the rescaled exercise boundary derived from the corresponding Black-Scholes partial differential equation with a free boundary.
|Number of pages||12|
|Journal||Proceedings of the American Mathematical Society|
|Publication status||Published - 2009 Oct|
All Science Journal Classification (ASJC) codes
- Applied Mathematics