摘要翻译：
我们考虑CEV过程下的美式看跌期权。这对应于偏微分方程的自由边界问题。我们证明了这一自由边界满足非线性积分方程，并在小的$Rho$=$2R/\sigma^2$范围内进行了分析，其中$R$是利率，$\sigma$是波动率。我们用摄动方法发现自由边界在五个时间范围内表现不同。
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英文标题：
《On a free boundary problem for an American put option under the CEV
  process》
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作者：
Miao Xu, Charles Knessl
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最新提交年份：
2010
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分类信息：

一级分类：Mathematics        数学
二级分类：Analysis of PDEs        偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE's, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it in the limit of small $\rho$ = $2r/ \sigma^2$, where $r$ is the interest rate and $\sigma$ is the volatility. We use perturbation methods to find that the free boundary behaves differently for five ranges of time to expiry.
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PDF链接：
https://arxiv.org/pdf/1009.2973