most citedA Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization

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math.AP2026

Sharp asymptotics for a free boundary touching a degenerate boundary: the perpetual Heston put

Takwon Kim, Junkee Jeon, Jehan Oh

We study the exercise boundary of the perpetual American put in the Heston model near zero variance. There the pricing operator degenerates, and the exercise boundary, a free bound…