Xie, Dejun; Edwards, David; Schleiniger, Gilberto; Zhu, … - In: Applied Mathematical Finance 18 (2011) 4, pp. 353-365
Understanding the behaviour of the American put option is one of the classic problems in mathematical finance. Considerable efforts have been made to understand the asymptotic expansion of the optimal early exercise boundary for small time near expiry. Here we focus on the large-time expansion...