OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (Q3057465): Difference between revisions
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| Property / cites work: American options on assets with dividends near expiry / rank | |||
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| Property / cites work: CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL / rank | |||
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| Property / cites work: An introduction to the mathematical theory of inverse problems / rank | |||
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| Property / cites work: An exact and explicit solution for the valuation of American put options / rank | |||
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| Property / cites work: CRITICAL STOCK PRICE NEAR EXPIRATION / rank | |||
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Latest revision as of 13:00, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY |
scientific article |
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OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY (English)
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24 November 2010
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American put option
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local volatility model
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singular perturbation
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optimal exercise price
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