Digitale Medien
350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK .
:
Blackwell Publishing, Inc.
Mathematical finance
15 (2005), S. 0
ISSN:
1467-9965
Quelle:
Blackwell Publishing Journal Backfiles 1879-2005
Thema:
Mathematik
,
Wirtschaftswissenschaften
Notizen:
We show how the change-of-variable formula with local time on curves derived recently in Peskir (2002) can be used to prove that the optimal stopping boundary for the American put option can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation. This settles the question raised in Myneni (1992) and dating back to McKean (1965).
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1111/j.0960-1627.2005.00214.x
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