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On a free boundary problem for an American put option under the CEV process
free boundary problem American option CEV process
2010/10/21
We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it ...
On a free boundary problem for an American put option under the CEV process
free boundary problem American put option CEV process
2010/12/7
We consider an American put option under the CEV process. This corre-sponds to a free boundary problem for a PDE. We show that this free boundary satises a nonlinear integral equation, and analyze it...