Article ID Journal Published Year Pages File Type
4621646 Journal of Mathematical Analysis and Applications 2008 11 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Analysis