Kenneth ChengMathematical modeling

Editorial project overview

American Put Free-Boundary Audit

How can an American put price, stopping boundary, and complementarity conditions be validated together?

Reproducible studyUpdated 2 Aug 2026
Technical figure from American Put Free-Boundary Audit
A reviewed research figure synchronized from the private technical workspace. The original aspect ratio and labels are preserved.

Editorial overview

Read When Should an American Put Be Exercised? for the optimal-stopping formulation, obstacle discretisation, Rannacher diagnostic, convergence study, method comparison, sensitivity analysis, term-structure extension, and eight approved figures.

The public article reports reviewed conclusions without exposing the private notebook, solver source, raw tables, or calculation notes.

Key findings

  • The configured American put price is 8.56494 and the valuation-date exercise boundary is 71.7972.
  • The maximum complementarity residual is 1.20e-8, with independent tree and simulation checks.

Limitations

  • The study is synthetic and is not trading advice.
  • Stochastic volatility, jumps, discrete dividends, transaction costs, and calibration uncertainty are outside scope.

Technical record

Detailed source, calculations, generated figures, and reproduction instructions are maintained in a private technical workspace. Public articles contain only manually reviewed interpretation and approved figures.

Version history

2026-08-02 — Curated overview reviewed against repository evidence.