Found 20 Documents (Results 1–20)
Higher-order regularity of the free boundary in the inverse first-passage problem. (English) Zbl 1496.35459
Towards implementation of PDE control for Stefan system: input-to-state stability and sampled-data design. (English) Zbl 1461.93444
Analysis of the optimal exercise boundary of American put options with delivery lags. (English) Zbl 1458.91212
Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives. (English) Zbl 1493.91124
A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates. (English) Zbl 1386.91164
Properties of American volatility options in the mean-reverting 3/2 volatility model. (English) Zbl 1395.91457
Numerical method for solving free boundary problem arising from fixed rate mortgages. (English) Zbl 1447.91191
Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 9th international conference, LSSC 2013, Sozopol, Bulgaria, June 3–7, 2013. Revised selected papers. Berlin: Springer. Lect. Notes Comput. Sci. 8353, 593-601 (2014).
Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset. (English) Zbl 1282.91326
MSC:
91G20
A closed-form solution to American options under general diffusion processes. (English) Zbl 1278.91171
Regularity of the American put option in the Black-Scholes model with general discrete dividends. (English) Zbl 1246.91132
Comparison of numerical and analytical approximations of the early exercise boundary of American put options. (English) Zbl 1216.35182
Corrected random walk approximations to free boundary problems in optimal stopping. (English) Zbl 1127.60038
The American put is log-concave in the log-price. (English) Zbl 1083.91056
Reviewer: Klaus Ehemann (Karlsruhe)
MSC:
91B28
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