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

DOI10.1214/aoap/1050689604zbMath1064.91045MaRDI 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

options; optimal stopping problems

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

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Cites Work

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• The pricing of the American option
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• Error estimates for the binomial approximation of American put options
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• CRITICAL STOCK PRICE NEAR EXPIRATION
• American options on assets with dividends near expiry