{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T05:57:01Z","timestamp":1790575021789,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>When should the holder of an American put exercise early if volatility is rough? With time to maturity \u03b8, the BlackScholes exercise boundary sits \u03c3 \u03b8 ln(1\/\u03b8) below the strike in log terms. We show that under rough volatility the boundary is set by the skewness of short-horizon returns. With negative correlation between price and volatility shocks, the upside tail that gives waiting its value is thin, so exercise becomes optimal closer to the strike. In a Gaussian rough volatility model we prove that the distance of the European indierence boundary from the strike is 1 + 1 2 \u03c1\u03b7D H \u03b8 H ln(1\/\u03b8) times its BlackScholes value, where \u03c1 is the spot-volatility correlation, \u03b7 the volatility of volatility and H the Hurst parameter. The American boundary obeys the same law under a stated hypothesis on an occupation time. With equity-like parameters the European boundary distance is 10% to 18% below its BlackScholes value from a few trading days to a few seconds before expiry. The boundary can also be read o the short-dated smile.<\/jats:p>","DOI":"10.2139\/ssrn.7525199","type":"posted-content","created":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T05:42:00Z","timestamp":1790574120000},"source":"Crossref","is-referenced-by-count":0,"title":["Near-Maturity Exercise Boundaries of American Options under Rough Volatility"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8638-4563","authenticated-orcid":true,"given":"Achyut","family":"Kumar","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Abhinav","family":"Duddala","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Aryan","family":"Bachu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Vittesh","family":"Ballepu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Roshan","family":"Varghese","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Armaan","family":"Yadav","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tanish","family":"Baradi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T05:42:01Z","timestamp":1790574121000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7525199"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7525199","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}