CRITICAL STOCK PRICE NEAR EXPIRATION

Mathematical Finance

Volumn 5, Issue 2, 1995, Pages 77-95

  Barles, Guy ^a   Burdeau, Julien ^b,c   Romano, Marc ^b,c   Samsoen, Nicolas ^b,c  

^a UNIVERSITÉ DE TOURS   (France)

^b ECOLE NORMALE SUPÉRIEURE   (France)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

American put; free boundary; subsolution; supersolution

Indexed keywords

EID: 84986790240     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1995.tb00103.x     Document Type: Article

References (12)

1. The Pricing of Options and Corporate Liabilities
2. Alternative Characterizations of American Put Options
3. The American Put Option Valued Analytically
4. Optimal Stopping and the American Put
5. Variational Inequalities and the Pricing of American Options
6. On the Pricing of American Options
7. The Analytic Valuation of American Options
8. The Pricing of the American Option
9. Option Pricing: the American Put