Article1995

CRITICAL STOCK PRICE NEAR EXPIRATION

Guy Barles A · Julien Burdeau · Nicolas Samsoen

137 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Nonlinear Partial Differential Equations

Abstract

We study the critical price of an American put option near expiration in the Black‐Scholes model. Our main result is an estimate for the difference P̄ (t)‐ K between the critical price at time t and the exercise price as t approaches the maturity of the option.

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References

1973The Pricing of Options and Corporate Liabilities 1988Brownian Motion and Stochastic Calculus 1984The American Put Option Valued Analytically 1990The Analytic Valuation of American Options 1991Optimal Stopping and the American Put 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1990Variational inequalities and the pricing of American options 1988On the pricing of American options

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2007A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options 2002American options on assets with dividends near expiry 1998Optimal exercise boundary for an American put option 2010Pricing American options under stochastic volatility and stochastic interest rates 1999Exercise regions of American options on several assets 2005The saga of the American put 2006

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