Convexity of the optimal stopping boundary for the American put option

By Erik Ekström. 2004

54 citations recorded by the source corpus.

Subfields: Applied Mathematics, Control and Systems Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/90a76732f323c453a3bc4a11b8b4f724fc71e8d9

How researchers see this paper

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In Applied Mathematics

1. Daniel Sevcovic

In Control and Systems Engineering

1. Daniel Sevcovic

In Finance

1. Daniel Sevcovic

Citations in the corpus

• Analytical and Numerical Methods for Pricing Financial Derivatives (2011, background): “[24] that the early exercise boundary function % is convex (see also Chadam [22], Ekström and Tysk [40], [41]).”