Asymptotic analysis of the American call option with dividends

European Journal of Applied Mathematics

Volumn 13, Issue 6, 2002, Pages 587-616

  Knessl, Charles ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036904093     PISSN: 09567925     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0956792502004898     Document Type: Article

References (9)

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3. Dewynne, J.N., Howison, S.D., Rupf, I. & Wilmott, P. (1993) Some mathematical results in the pricing of American options. Euro. J. Appl. Math. 4, 381-398.
4. Evans, J.D., Kuske, R. & Keller, J.B. American options with dividends near expiry. Preprint.
5. Fouque, J.P., Papanicolaou, G. & Smear, K.R. (2000) Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press.
6. Grinberg, G.A. & Chekmareva, O.M. (1971) Motion of phase intrface in Stefan problems. Soy. Phys. Tech. Phys. 15, 1579.
7. Knessl, C. (2001) A note on a moving boundary problem arising in the American put option. Stud. Appl. Math. 107, 157-183.
8. Kuske, R.A. & Keller, J.B. (1998) Optimal exercise boundary for an American put option. Appl. Mathematical Finance, 5, 107-116.
9. Wilmott, P., Dewynne, J. & Howison, S. (1995) Option Pricing: Mathematical Models and Computation. Cambridge University Press.