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The Convexity of the Free Boundary for the American put option
Published 19 Apr 2013 in q-fin.CP and q-fin.GN | (1304.5337v7)
Abstract: This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The contribution is to propose a condition for that the early exercise boundary is a convex function.
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