Asymptotic analysis of shout options close to expiry (Q469983)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic analysis of shout options close to expiry |
scientific article; zbMATH DE number 6368374
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis of shout options close to expiry |
scientific article; zbMATH DE number 6368374 |
Statements
Asymptotic analysis of shout options close to expiry (English)
0 references
11 November 2014
0 references
Summary: We use an asymptotic expansion to study the behavior of shout options close to expiry. Series solutions are obtained for the location of the free boundary and the price of the option in that limit.
0 references
