NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET. (17th February 2012)
- Record Type:
- Journal Article
- Title:
- NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET. (17th February 2012)
- Main Title:
- NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET
- Authors:
- Chen, Xinfu
Cheng, Huibin
Chadam, John - Abstract:
- <abstract abstract-type="main" xml:lang="en"> <title> <x xml:space="preserve">Abstract</x> </title> <p>We prove that when the dividend rate of the underlying asset following a geometric Brownian motion is slightly larger than the risk‐free interest rate, the optimal exercise boundary of the American put option is not convex.</p> </abstract>
- Is Part Of:
- Mathematical finance. Volume 23:Number 1(2013:Jan.)
- Journal:
- Mathematical finance
- Issue:
- Volume 23:Number 1(2013:Jan.)
- Issue Display:
- Volume 23, Issue 1 (2013)
- Year:
- 2013
- Volume:
- 23
- Issue:
- 1
- Issue Sort Value:
- 2013-0023-0001-0000
- Page Start:
- 169
- Page End:
- 185
- Publication Date:
- 2012-02-17
- Subjects:
- Business mathematics -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965 ↗
http://www.blackwellpublishers.co.uk/online ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/j.1467-9965.2011.00500.x ↗
- Languages:
- English
- ISSNs:
- 0960-1627
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5401.975000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 3352.xml