Asymptotic analysis of shout options close to expiry (Q469983)
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scientific article; zbMATH DE number 6368374
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| English | Asymptotic analysis of shout options close to expiry |
scientific article; zbMATH DE number 6368374 |
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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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