Critical price near maturity for an American option on a dividend-paying stock. (Q1413692): Difference between revisions
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Critical price near maturity for an American option on a dividend-paying stock. |
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Critical price near maturity for an American option on a dividend-paying stock. (English)
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17 November 2003
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The paper studies the behaviour of the critical price of an American put option near maturity, when the underlying stock pays dividents at a continuous rate. The results of the study are also applicable to foreign currencies American options.
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options
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optimal stopping problems
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