Roland Mallier, Ghada Alobaidi
Abstract
Abstract. We use an asymptotic expansion to study the behavior of the American put option close to expiry for the case where the dividend yield is less than or equal to the risk-free interest rate. Series solutions are obtained for the location of the free boundary and the price of the option in that limit. 1.
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Abstract. We use an asymptotic expansion to study the behavior of the American put option close to expiry for the case where the dividend yield is less than or equal to the risk-free interest rate. Series solutions are obtained for the location of the free boundary and the price of the option in that limit. 1.
Key concepts: Put option, Call option, Asian option, Binary option, Black–Scholes model, Strike price, Valuation of options, Exotic option