Asymptotics for Americans: American options close to expiry

DOI10.17654/MS099121883zbMATH Open1356.91085OpenAlexW2467556332MaRDI QIDQ2964385FDOQ2964385

R. Mallier, G. Alobaidi

Publication date: 24 February 2017

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9898.htm

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zbMATH Keywords

asymptoticsfree boundaryAmerican optionsequity securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (9)

• Evaluating approximations to the optimal exercise boundary for American options
• Title not available (Why is that?)
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• On the asymptotic free boundary for the American put option problem
• On the behaviour near expiry for multi-dimensional American options
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• Asymptotic analysis of American call options

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