Asymptotic analysis of American call options
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.
scientific article; zbMATH DE number 1751238