A long time asymptotic behavior of the free boundary for an American put

Cheonghee Ahn; Hi Jun Choe; Kijung Lee

doi:10.1090/S0002-9939-09-09900-6

A long time asymptotic behavior of the free boundary for an American put

Cheonghee Ahn, Hi Jun Choe, Kijung Lee

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	3425-3436
Number of pages	12
Journal	Proceedings of the American Mathematical Society
Volume	137
Issue number	10
DOIs	https://doi.org/10.1090/S0002-9939-09-09900-6
Publication status	Published - 2009 Oct

All Science Journal Classification (ASJC) codes

Mathematics(all)
Applied Mathematics

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title = "A long time asymptotic behavior of the free boundary for an American put",

abstract = "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.",

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A long time asymptotic behavior of the free boundary for an American put

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