The free boundary of the American put option is analytically characterized via new and exact formulae. New accurate short-time asymptotics are an immediate corollary of these analytical results. The free boundary is also represented formulaically throughout all tenors by a simple two-parameter generalized Gaussian functional form. TOPICS:Options, fundamental equity analysis, statistical methods Key Findings • First exact formula for the free boundary (early exercise boundary) of the American put option in terms of the exogenous inputs: risk free rate, volatility, and a boundary dependent integral. • A simple and accurate asymptotics formula for the free boundary of the American put option near expiration. • An empirical solution (possibly exact) of the free boundary as a two-parameter generalized Gaussian functional form.

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美国看跌期权的自由边界

美国认沽期权的自由边界通过新的精确公式进行分析表征。新的准确的短时间渐近线是这些分析结果的直接推论。自由边界还可以通过简单的两参数广义高斯函数形式公式化地表示所有期限。主题：期权，基本权益分析，统计方法主要研究结果•美国认沽期权自由边界（早期行使边界）的第一个确切公式是根据外生输入得出的：无风险利率，波动率和边界相关积分。•有关到期日附近美国看跌期权自由边界的简单准确的渐近公式。•自由边界作为两参数广义高斯函数形式的经验解（可能是精确的）。