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Volume 17,     Number 4,     Winter 2009

 

NEW RESULTS FOR THE AMERICAN
PUT OPTION
XINFU CHEN, HUIBIN CHENG AND JOHN CHADAM

Abstract. In this paper, we summarize some of our recent results for the American put option. Specifically, we will discuss existence and uniqueness of the solution and regularity of the early exercise boundary. We shall also provide estimates for the near-expiry and far-from-expiry behavior of this boundary as well its convexity/nonconvexity.

 

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