Annals of Applied Probability

Critical price near maturity for an American option on a dividend-paying stock

Damien Lamberton and Stéphane Villeneuve

Full-text: Open access

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.

Article information

Source
Ann. Appl. Probab., Volume 13, Number 2 (2003), 800-815.

Dates
First available in Project Euclid: 18 April 2003

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1050689604

Digital Object Identifier
doi:10.1214/aoap/1050689604

Mathematical Reviews number (MathSciNet)
MR1970287

Zentralblatt MATH identifier
1064.91045

Subjects
Primary: 90A09 93E20: Optimal stochastic control 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
Optimal stopping free boundary American options

Citation

Lamberton, Damien; Villeneuve, Stéphane. Critical price near maturity for an American option on a dividend-paying stock. Ann. Appl. Probab. 13 (2003), no. 2, 800--815. doi:10.1214/aoap/1050689604. https://projecteuclid.org/euclid.aoap/1050689604


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References

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