TITLE:
Some Properties for the American Option-Pricing Model
AUTHORS:
Hong-Ming Yin
KEYWORDS:
American Option Model; Regularity of Free Boundary; Comparison Principle
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.2 No.3,
August
31,
2012
ABSTRACT: In this paper we study global properties of the optimal excising boundary for the American option-pricing model. It is shown that a global comparison principle with respect to time-dependent volatility holds. Moreover, we proved a global regularity for the free boundary.