Geodesic
An investigation on the existence and uniqueness analysis of the optimal exercise boundary of American put option
Filomat, Tome 35 (2021) no. 4, p. 1095

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DOI

In this paper, we discuss the Banach fixed point theorem conditions on the optimal exercise boundary of American put option paying continuously dividend yield, to investigate whether its existence, uniqueness, and convergence are derived. In this respect, we consider the integral representation of the optimal exercise boundary which is extracted as a consequence of the Feynman-Kac formula. In order to prove the above features, we define a nonempty closed set in Banach space and prove that the proposed mapping is contractive and onto. At final, we illustrate the ratio convergence of the mapping on the optimal exercise boundary
DOI : 10.2298/FIL2104095A
Classification : 91G80;M 45L05, 65R20
Keywords: Optimal Exercise Boundary, Banach Fixed Point Theorem, Existence, Uniqueness, Convergence 
Davood Ahmadian; Akbar Ebrahimi; Karim Ivaz; Mariyan Milev. An investigation on the existence and uniqueness analysis of the optimal exercise boundary of American put option. Filomat, Tome 35 (2021) no. 4, p. 1095 . doi: 10.2298/FIL2104095A
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     title = {An investigation on the existence and uniqueness analysis of the optimal exercise boundary of {American} put option},
     journal = {Filomat},
     pages = {1095 },
     year = {2021},
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     number = {4},
     doi = {10.2298/FIL2104095A},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2104095A/}
}
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