F. Aitsahlia and T. Lai, “Exercise Boundaries and Efficient Approximations to American Option Prices,” Journal of Computational Finance, Vol. 4, 2001, pp. 85-103.
has been cited by the following article:
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.