Abstract
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.
Citation
Damien Lamberton. Stéphane Villeneuve. "Critical price near maturity for an American option on a dividend-paying stock." Ann. Appl. Probab. 13 (2) 800 - 815, May 2003. https://doi.org/10.1214/aoap/1050689604
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