American options on assets with dividends near expiry

Mathematical Finance

Volumn 12, Issue 3, 2002, Pages 219-237

  Evans, J D ^a   Kuske, R ^b   Keller, Joseph B ^c  

^a University of Bath   (United Kingdom)

^b University of Minnesota   (United States)

^c STANFORD UNIVERSITY   (United States)

Author keywords

American option; Call option; Exercise boundary; Free boundary; Put option

Indexed keywords

EID: 0036021559     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.02008     Document Type: Article

References (15)

1. Critical stock price near expiration
2. Applied mathematics and finance
3. Pricing an American option by approximating its early exercise boundary as a multipiece exponential function
4. The analytic valuation of the American options
5. Asymptotic analysis of the American call option with dividends
6. A note on a moving boundary problem arising in the American put option
7. Optimal exercise boundary for an American put option
8. On optimal stopping and free boundary problems