Consider an American put option on an asset which pays no dividend. Show that the early exercise
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Consider an American put option on an asset which pays no dividend. Show that the early exercise premium e(S, τ; X) is bounded by
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e¯r§ rX rX * e-¹² N(−ã£) d² ≤ e(S, t; X) ≤ rx [*e-¹² N(-đ³) dž, fe where de In S* (T) S* (0) S* (x) = + (r − 02² )§ X 1 +97²' 2r de S* (0) = X. In S* 5² (∞0) + (r = 2/2²) O √
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