کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4621646 1339486 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the behaviour near expiry for multi-dimensional American options
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
On the behaviour near expiry for multi-dimensional American options
چکیده انگلیسی

In this paper we analyse the behaviour, near expiry, of the free boundary appearing in the pricing of multi-dimensional American options in a financial market driven by a general multi-dimensional Ito diffusion. In particular, we prove regularity for the pricing function up to the terminal state and we establish a sufficient criteria for the conclusion that the optimal exercise boundary approaches the terminal state faster than parabolically.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 339, Issue 1, 1 March 2008, Pages 644-654