Asymptotic analysis of American call options (Q1599715): Difference between revisions
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Latest revision as of 05:03, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis of American call options |
scientific article |
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Asymptotic analysis of American call options (English)
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12 September 2003
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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.
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American call options
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asymptotic analysis
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free boundary problem
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optimal exercise boundary
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Black-Scholes formula
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