CRITICAL STOCK PRICE NEAR EXPIRATION
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 &Pmacr; ("t")- "K" between the critical price at time "t" and the exercise price as "t" approaches the maturity of the option. Copyright 1995 Blackwell Publishers.
Year of publication: |
1995
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Authors: | Barles, Guy ; Burdeau, Julien ; Romano, Marc ; Samsoen, Nicolas |
Published in: |
Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 5.1995, 2, p. 77-95
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Publisher: |
Wiley Blackwell |
Saved in:
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