It is well known [11] that the early exercise boundary for the American put approaches the
strike price at expiry with infinite velocity. This causes difficulties in developing efficient and …

… Chadam and R. Stamicar was supported in part through a NSF grant, DMS 9704567 and
of P. Ortoleva through US DOE (Basic Energy Sciences) grant DE-FG02-91ER14175. …

MOTIVATION-A FEW QUESTIONS Hull, Nelken, and White (2005) establish that a variant of
the Merton model of credit calibrated to equity options can differentiate credit quality in cross …

Multi-asset class (MAC) portfolios can be composed of investments in equities, fixed income,
commodities, foreign exchange, credit, derivatives, and alternatives such as real estate and …

… Which scenarios  r should we select from H? The hyperplane H … r H, the conditional
distribution of r is normal with mean … r . It can be shown that the mean of this conditional distribution …

… Denote the position of the moving planar boundary by R(t). We seek solutions of c|(.v_£),
c2(.rt), and R(t) subject to the following diffusion equation along with the following nonlinear …

Several new analytical and numerical approximations are provided for the location of the early
exercise boundary for the American put option. The most complete approximation is in the …