Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Mathematical finance
5 (1995), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
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 P̄ (t)- K between the critical price at time t and the exercise price as t approaches the maturity of the option.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-9965.1995.tb00103.x
Permalink
|
Location |
Call Number |
Expected |
Availability |