Asymptotic analysis of American call options

DOI10.1155/S0161171201005701zbMath1018.91020MaRDI QIDQ1599715

Ghada Alobaidi, Roland Mallier

Publication date: 12 September 2003

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/50264

zbMATH Keywords

free boundary problemasymptotic analysisBlack-Scholes formulaoptimal exercise boundaryAmerican call options

Mathematics Subject Classification ID

Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (5)

LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS ⋮ Asymptotic analysis of shout options close to expiry ⋮ Installment options close to expiry ⋮ The American straddle close to expiry ⋮ Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

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