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Some Properties for the American Option-Pricing Model

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In this paper we study global properties of the optimal excising boundary for the American option-pricing model. It is shown that a global comparison principle with respect to time-dependent volatility holds. Moreover, we proved a global regularity for the free boundary.

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H. Yin, "Some Properties for the American Option-Pricing Model,"

*Journal of Mathematical Finance*, Vol. 2 No. 3, 2012, pp. 243-250. doi: 10.4236/jmf.2012.23027.

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