We study the behavior of the critical price of an American put option near
maturity when the underlying stock pays dividends at a continuous rate. The results
also apply to foreign currencies American options.
Publié le : 2003-05-14
Classification:
Optimal stopping,
free boundary,
American options,
90A09,
93E20,
60G40
@article{1050689604,
author = {Lamberton, Damien and Villeneuve, St\'ephane},
title = {Critical price near maturity for an American option on a dividend-paying stock},
journal = {Ann. Appl. Probab.},
volume = {13},
number = {1},
year = {2003},
pages = { 800-815},
language = {en},
url = {http://dml.mathdoc.fr/item/1050689604}
}
Lamberton, Damien; Villeneuve, Stéphane. Critical price near maturity for an American option on a dividend-paying stock. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp. 800-815. http://gdmltest.u-ga.fr/item/1050689604/