Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
Non-Convexity of the Optimal Exercise Boundary For an American Put Option on a Dividend-paying Asset
Tuesday, February 08, 2011 at 11:00am - 12:00pm
Speaker: Huibin Cheng, University of Pittsburgh
We prove that when the dividend rate of the underlying asset following a geometric Brownian motion is slightly larger than the risk-free interest rate, the optimal exercise boundary of the American put option is not convex.
Speaker: Huibin Cheng, University of Pittsburgh
Slides: (TBA)
Speaker: Huibin Cheng, University of Pittsburgh
Slides: (TBA)
Location Hill 705