American options on assets with dividends near expiry
- 1 July 2002
- journal article
- Published by Wiley in Mathematical Finance
- Vol. 12 (3), 219-237
- https://doi.org/10.1111/1467-9965.02008
Abstract
No abstract availableKeywords
This publication has 6 references indexed in Scilit:
- Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential FunctionThe Review of Financial Studies, 1998
- Optimal exercise boundary for an American put optionApplied Mathematical Finance, 1998
- CRITICAL STOCK PRICE NEAR EXPIRATIONMathematical Finance, 1995
- Applied mathematics and financePhilosophical Transactions A, 1994
- The Analytic Valuation of American OptionsThe Review of Financial Studies, 1990
- On optimal stopping and free boundary problemsArchive for Rational Mechanics and Analysis, 1976