Asymptotic analysis of the American call option with dividends

DOI10.1017/S0956792502004898zbMath1049.91075OpenAlexW1988982671MaRDI QIDQ4796923

Charles Knessl

Publication date: 2002

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792502004898

zbMATH Keywords

asymptotic analysis

Mathematics Subject Classification ID

Related Items (5)

American options on assets with dividends near expiry ⋮ On a free boundary problem for an American put option under the CEV process ⋮ Asymptotics of Barrier Option Pricing Under the CEV Process ⋮ Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry ⋮ Ray methods for free boundary problems

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