Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A new integral representation of the early exercise boundary for American put options
Thomas Little and Vijay Pant, Chunli Hou
Abstract
ABSTRACT
In this paper, the authors derive a new integral representation of the early exercise boundary for American put options. This new representation is a one-dimensional integral equation, which constitutes a reduction in dimension from the commonly used integral representation. It is shown to have some different numerical properties and is posssibly more tractable analytically than the integral representation currently found in the literature.
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