CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
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Publication:5692938
DOI10.1111/j.1467-9965.2005.00228.xzbMath1137.91437OpenAlexW2050308899MaRDI QIDQ5692938
Publication date: 28 September 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00228.x
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Related Items (7)
The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate ⋮ Optimal early retirement near the expiration of a pension plan ⋮ Valuing American-style options under the CEV model: an integral representation based method ⋮ Exercise Boundary Near Maturity for an American Option on Several Assets ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ On the regularity of the free boundary in the parabolic obstacle problem. Application to American options ⋮ OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY
Cites Work
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- Variational inequalities and the pricing of American options
- On the pricing of American options
- On optimal stopping and free boundary problems
- Propagation of convexity by Markovian and martingalian semigroups
- Volatility misspecification, option pricing and superreplication via coupling
- Critical price near maturity for an American option on a dividend-paying stock.
- Robustness of the Black and Scholes Formula
- Calibrating volatility surfaces via relative-entropy minimization
- American options on assets with dividends near expiry
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