Asymptotic analysis of American call options
type: Item
instance of: scholarly article
title: Asymptotic analysis of American call options
zbMATH Open document ID: 1018.91020
DOI: 10.1155/S0161171201005701
author: G. Alobaidi
author: R. Mallier
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2003-09-12T00:00:00Z
full work available at URL: https://eudml.org/doc/50264
review text: The authors consider the pricing of American call options on stocks with a constant dividend-yield rate. Using asymptotic techniques, they obtain a series solution for the location of the optimal option-exercise boundary near the expiry date. Using similarity solutions, they solve a series of partial differential equations to find a local solution for the option price when the expiry date is near and the stock price is close to the optimal exercise boundary.
reviewed by: E. S. W. Shiu
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 41A58
zbMATH DE Number: 1751238
zbMATH Keywords: American call options
zbMATH Keywords: asymptotic analysis
zbMATH Keywords: free boundary problem
zbMATH Keywords: optimal exercise boundary
zbMATH Keywords: Black-Scholes formula
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1751238