ASYMPTOTICS FOR AMERICANS: AMERICAN OPTIONS CLOSE TO EXPIRY

DOI10.17654/MS099121883zbMath1356.91085OpenAlexW2467556332MaRDI QIDQ2964385

Roland Mallier, Ghada Alobaidi

Publication date: 24 February 2017

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9898.htm

zbMATH Keywords

asymptoticsAmerican optionsfree boundaryequity securities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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