Barles, Guy; Burdeau, Julien; Romano, Marc; Samsoen, Nicolas - In: Mathematical Finance 5 (1995) 2, pp. 77-95
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...