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Critical Price for an American Option near Maturity

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Seminar on Stochastic Analysis, Random Fields and Applications

Part of the book series: Progress in Probability ((PRPR,volume 36))

Abstract

We give an alternate proof of a recent result of Barles, Burdeau, Romano and Samsoen on the behavior of the critical price for American put options near maturity.

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References

  1. G. Barles, J. Burdeau, M. Romano, N. Sansoen, Estimation de la frontière libre des options américaines au voisinage de l’échéance, C. R. Acad Sci. Paris, Série I 316 (1993), 171–174.

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Author information

Authors and Affiliations

  1. Equipe d’Analyse et de Mathématiques Appliquées, Université de Marne-la-Vallée, 2 rue de la Butte Verte, 93166, Noisy-le-Grand Cedex, France

    Damien Lamberton

Authors
  1. Damien Lamberton
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Editor information

Editors and Affiliations

  1. Institut für Mathematik, Abteilung Angewandte Mathematik, Universität Zürich-Irchel, Winterthurerstr. 190, CH-8057, Zürich, Switzerland

    Erwin Bolthausen

  2. Département de Mathématiques, Université de Nancy 1, B.P. 239, F-54506, Vandoeuvre-Les-Nancy Cedex, France

    Marco Dozzi

  3. Département de Mathématiques Institut Galilée, Université Paris-Nord, Av. Jean-Baptiste Clément, F-93430, Villetaneuse, France

    Francesco Russo

  4. BIBOS, Universität Bielefeld, D-33615, Bielefeld 1, Germany

    Francesco Russo

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© 1995 Springer Basel AG

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Lamberton, D. (1995). Critical Price for an American Option near Maturity. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 36. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-7026-9_24

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  • DOI: https://doi.org/10.1007/978-3-0348-7026-9_24

  • Publisher Name: Birkhäuser, Basel

  • Print ISBN: 978-3-0348-7028-3

  • Online ISBN: 978-3-0348-7026-9

  • eBook Packages: Springer Book Archive

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