Asymptotic analysis of shout options close to expiry (Q469983)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis of shout options close to expiry |
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Asymptotic analysis of shout options close to expiry (English)
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11 November 2014
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Summary: We use an asymptotic expansion to study the behavior of shout options close to expiry. Series solutions are obtained for the location of the free boundary and the price of the option in that limit.
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