Abstract
Unlike European options, American options can be exercised at any time before the expiration date. This fact makes it difficult to analyze the price and the optimal exercise boundary of an American option. The optimal exercise boundary of an American option is implicitly defined by a nonlinear integral equation. This article studies the properties of the integral equation arising in the valuation of American options. Based on the properties of the integral equation, this article also presents a simple upper bound for the optimal exercise boundary of the American put.
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