Critical price near maturity for an American option on a dividend-paying stock.

DOI10.1214/aoap/1050689604zbMath1064.91045OpenAlexW2057067606MaRDI QIDQ1413692

Stéphane Villeneuve, Damien Lamberton

Publication date: 17 November 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1050689604

zbMATH Keywords

optionsoptimal stopping problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

• On the pricing of American options
• The pricing of the American option
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• On optimal stopping and free boundary problems
• Error estimates for the binomial approximation of American put options
• Exercise regions of American options on several assets
• CRITICAL STOCK PRICE NEAR EXPIRATION
• American options on assets with dividends near expiry
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