EARLY EXERCISE BOUNDARY OF Amput外文翻译.pdfVIP

c SIAM J. APPL. MATH. 2002 Society for Industrial and Applied Mathematics Vol. 62, No. 5, pp. 1823–1835 ON THE EARLY EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION∗ JONATHAN GOODMAN† AND DANIEL N. OSTROV‡ Abstract. We study the short time behavior o fthe early exercise boundary for American style put options in the Black–Scholes theory. We develop an asymptotic ex