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- W2950333346 abstract "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 in the limit of small $rho$ = $2r/ sigma^2$, where $r$ is the interest rate and $sigma$ is the volatility. We use perturbation methods to find that the free boundary behaves differently for five ranges of time to expiry." @default.
- W2950333346 created "2019-06-27" @default.
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- W2950333346 date "2010-09-15" @default.
- W2950333346 modified "2023-09-27" @default.
- W2950333346 title "On a free boundary problem for an American put option under the CEV process" @default.
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