Journal of Mathematical Finance

Volume 2, Issue 3 (August 2012)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 1.39  Citations  

Some Properties for the American Option-Pricing Model

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DOI: 10.4236/jmf.2012.23027    4,900 Downloads   9,042 Views  Citations
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ABSTRACT

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.

Share and Cite:

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.

Cited by

[1] Portfolio optimization on jump diffusion
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[2] Numerical Methods for American Option Pricing with Nonlinear Volatility
2015
[3] On the American option‐pricing model with an uncertain volatility
Mathematical Methods in the Applied Sciences, 2015

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