Sensitivity analysis of the optimal exercise boundary of the American put option
-
Nasir Rehman
,
Sultan Hussain
Abstract
We consider the American put problem in a general one-dimensional diffusion model. The risk-free interest rate is constant, and volatility is assumed to be a function of time and stock price. We use the well-known parabolic obstacle problem and establish the continuity estimate of the optional exercise boundaries of the American put option with respect to the local volatilities, which may be considered as a generalization of the Achdou results [1].
Funding statement: The authors wish to gratefully acknowledge the financial support from their corresponding universities.
Acknowledgements
The authors wish to gratefully acknowledge the constructive comments of the anonymous referees which helped us a lot in improving the paper.
References
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© 2016 by De Gruyter
Artikel in diesem Heft
- Frontmatter
- Non-trivial solutions for nonlocal elliptic problems of Kirchhoff-type
- Existence of renormalized solutions for strongly nonlinear parabolic problems with measure data
- On the modification of the Szaśz–Durrmeyer operators
- A spectral representation of the linear multivelocity transport problem
- A Tauberian theorem for the product of Abel and Cesàro summability methods
- The spaces of bilinear multipliers of weighted Lorentz type modulation spaces
- Summations of Schlömilch series containing Struve function terms
- On nondifferentiable minimax semi-infinite programming problems in complex spaces
- Modified relativistic Laguerre polynomials. Monomiality and Lie algebraic methods
- On the difference between a Vitali–Bernstein selector and a partial Vitali–Bernstein selector
- The Hardy--Littlewood maximal operator and BLO1/log class of exponents
- Bicritical domination and double coalescence of graphs
- The asymptotic behavior of a counting process in the max-scheme. A discrete case
- Functions of bounded fractional differential variation – A new concept
- Sensitivity analysis of the optimal exercise boundary of the American put option
- Estimates for the asymptotic convergence of a non-isothermal linear elasticity with friction
- A coupled system of nonlinear differential equations involving m nonlinear terms
Artikel in diesem Heft
- Frontmatter
- Non-trivial solutions for nonlocal elliptic problems of Kirchhoff-type
- Existence of renormalized solutions for strongly nonlinear parabolic problems with measure data
- On the modification of the Szaśz–Durrmeyer operators
- A spectral representation of the linear multivelocity transport problem
- A Tauberian theorem for the product of Abel and Cesàro summability methods
- The spaces of bilinear multipliers of weighted Lorentz type modulation spaces
- Summations of Schlömilch series containing Struve function terms
- On nondifferentiable minimax semi-infinite programming problems in complex spaces
- Modified relativistic Laguerre polynomials. Monomiality and Lie algebraic methods
- On the difference between a Vitali–Bernstein selector and a partial Vitali–Bernstein selector
- The Hardy--Littlewood maximal operator and BLO1/log class of exponents
- Bicritical domination and double coalescence of graphs
- The asymptotic behavior of a counting process in the max-scheme. A discrete case
- Functions of bounded fractional differential variation – A new concept
- Sensitivity analysis of the optimal exercise boundary of the American put option
- Estimates for the asymptotic convergence of a non-isothermal linear elasticity with friction
- A coupled system of nonlinear differential equations involving m nonlinear terms
