Katsunori Ano releases paper on multiple stopping and exercise boundaries for American put options
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Katsunori Ano has released an academic paper studying the pricing of multiple stopping and exercise boundaries for finite-maturity American put options under a risk-neutral Black-Scholes model, with at most m exercise rights and a required interval of δ > 0 between consecutive exercises. The paper proves that the number of remaining exercise rights corresponds to a unique exercise boundary, and that boundaries are ordered by the number of remaining rights. It also derives conclusions including the local Lipschitz continuity of exercise boundaries, smooth-fit properties, quasi-variational inequalities, and free boundary formulations, and extends the recursive analysis framework to scenarios with independent random termination times.
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- arXiv q-finMultiple Stopping Times and Exercise Boundaries for American Put Options
This quantitative finance paper focuses on finite-maturity American put options under a risk-neutral Black-Scholes model, with at most m exercise rights and a minimum interval δ > 0 between consecutive exercises. It proves that the number of remaining exercise rights corresponds to a unique exercise boundary, and that boundaries are ordered by the number of remaining rights. The paper also derives results including local Lipschitz continuity of exercise boundaries, smooth-fit properties, quasi-variational inequalities, and free-boundary formulations, and extends the recursive framework to independent random termination times.
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