Open Access
Translator Disclaimer
May 2003 Critical price near maturity for an American option on a dividend-paying stock
Damien Lamberton, Stéphane Villeneuve
Ann. Appl. Probab. 13(2): 800-815 (May 2003). DOI: 10.1214/aoap/1050689604

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

Download 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

Information

Published: May 2003
First available in Project Euclid: 18 April 2003

zbMATH: 1064.91045
MathSciNet: MR1970287
Digital Object Identifier: 10.1214/aoap/1050689604

Subjects:
Primary: 60G40 , 90A09 , 93E20

Keywords: American options , free boundary , Optimal stopping

Rights: Copyright © 2003 Institute of Mathematical Statistics

JOURNAL ARTICLE
16 PAGES


SHARE
Vol.13 • No. 2 • May 2003
Back to Top