Critical price near maturity for an American option on a dividend-paying stock. (Q1413692)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Critical price near maturity for an American option on a dividend-paying stock. |
scientific article |
Statements
Critical price near maturity for an American option on a dividend-paying stock. (English)
0 references
17 November 2003
0 references
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.
0 references
options
0 references
optimal stopping problems
0 references