Critical price near maturity for an American option on a dividend-paying stock.

DOI10.1214/aoap/1050689604zbMath1064.91045OpenAlexW2057067606MaRDI QIDQ1413692

Stéphane Villeneuve, Damien Lamberton

Publication date: 17 November 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1050689604

zbMATH Keywords

optionsoptimal stopping problems

Mathematics Subject Classification ID

Related Items (18)

American options on assets with dividends near expiry ⋮ Sensitivity analysis of the optimal exercise boundary of the American put option ⋮ Optimal early retirement near the expiration of a pension plan ⋮ Optimal exercise of American put options near maturity: a new economic perspective ⋮ A new integral equation for Brownian stopping problems with finite time horizon ⋮ On the binomial approximation of the American put ⋮ Exercise boundary of the American put near maturity in an exponential Lévy model ⋮ CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL ⋮ On the behaviour near expiry for multi-dimensional American options ⋮ NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET ⋮ An improvement of an analytical approximation method for American options ⋮ Exercise Boundary Near Maturity for an American Option on Several Assets ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ On the regularity of the free boundary in the parabolic obstacle problem. Application to American options ⋮ The Critical Price of the American Put Near Maturity in the Jump Diffusion Model ⋮ Regularity of the free boundary of an American option on several assets ⋮ On a constant related to American type options ⋮ The free boundary problem of American butterfly option

Cites Work

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• On the pricing of American options
• The pricing of the American option
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• On optimal stopping and free boundary problems
• Error estimates for the binomial approximation of American put options
• Exercise regions of American options on several assets
• CRITICAL STOCK PRICE NEAR EXPIRATION
• American options on assets with dividends near expiry

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