Articlebronze2003

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

45 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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.

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References

1996Handbook of Brownian Motion — Facts and Formulae 1980Controlled Diffusion Processes 1994Option pricing: Mathematical models and computation 1990The Analytic Valuation of American Options 1988On the pricing of American options 1992The Pricing of the American Option 1976On optimal stopping and free boundary problems 1995CRITICAL STOCK PRICE NEAR EXPIRATION

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2014Real Options and American Derivatives: The Double Continuation Region 2008Regularity of the free boundary of an American option on several assets 2005CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL 2008American and European options in multi-factor jump-diffusion models, near expiry

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