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X. F. Chen, J. Chadam, L. S. Jiang and W. A. Zheng, “Convexity of the Exercise Boundary of the American Put Option on a Zero Dividend Asset,” Mathematical Finance, Vol. 18, No. 1, 2008, pp. 185-197. doi:10.1111/j.1467-9965.2007.00328.x

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.