OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY

DOI10.1017/S1446181110000052zbMath1202.91314MaRDI QIDQ3057465

Wen-Ting Chen, Song-Ping Zhu

Publication date: 24 November 2010

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

singular perturbationAmerican put optionoptimal exercise pricelocal volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• CRITICAL STOCK PRICE NEAR EXPIRATION
• American options on assets with dividends near expiry
• An exact and explicit solution for the valuation of American put options
• CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
• An introduction to the mathematical theory of inverse problems

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