Publications Meetings The Profession Membership Programs Math Samplings Policy & Advocacy In the News About the AMS
|
   
Available in electronic format
Available in print format 		Proceedings of the American Mathematical Society
Proceedings of the American Mathematical Society
ISSN 1088-6826(e) ISSN 0002-9939(p)

     

Far-from-expiry behavior of the American put option on a dividend-paying asset

Author(s): Xinfu Chen; Huibin Cheng; John Chadam
Journal: Proc. Amer. Math. Soc.
MSC (2010): Primary 35R35, 91G20, 91G80
Posted: July 12, 2010
Retrieve article in: PDF

Abstract | References | Similar articles | Additional information

Abstract: We provide a rigorous proof of sharp estimates for the long time behavior of the early exercise boundary and the price for an American put option on a dividend-paying asset that follows a geometric Brownian motion.

References:

1.
C. Ahn, H. Choe and K. Lee, A long time asymptotic behavior of the free boundary for an American put, Proceedings of AMS, March 30, 2009. MR 2515412

2.
Xinfu Chen and J. Chadam, A mathematical analysis of the optimal boundary for American put options, SIAM J. Math. Anal., 38 (2006), 1613-1641. MR 2286022 (2007k:91131)

3.
Xinfu Chen, Huibin Cheng and J. Chadam, Non-convexity of the optimal exercise boundary for an American put option on a dividend-paying asset, preprint, submitted for publication.

Similar Articles:

Retrieve articles in Proceedings of the American Mathematical Society with MSC (2010): 35R35, 91G20, 91G80

Retrieve articles in all Journals with MSC (2010): 35R35, 91G20, 91G80

Additional Information:

Xinfu Chen
Affiliation: Department of Mathematics, University of Pittsburgh, Pittsburgh, Pennsylvania 15260

Huibin Cheng
Affiliation: Department of Mathematics, University of Pittsburgh, Pittsburgh, Pennsylvania 15260

John Chadam
Affiliation: Department of Mathematics, University of Pittsburgh, Pittsburgh, Pennsylvania 15260

DOI: 10.1090/S0002-9939-2010-10516-6
PII: S 0002-9939(2010)10516-6
Received by editor(s): June 1, 2009
Received by editor(s) in revised form: December 22, 2009 and March 3, 2010
Posted: July 12, 2010
Additional Notes: The first author acknowledges support from NSF grant DMS-0504691.
The second and third authors acknowledge support from NSF grant DMS-0707953.
The authors would like to thank the referees for their comments, which have improved the presentation of the results.
Communicated by: Walter Craig
Copyright of article: Copyright 2010, American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.