CRITICAL STOCK PRICE NEAR EXPIRATION

1 April 1995

journal article
Published by Wiley in Mathematical Finance

Vol. 5 (2) , 77-95
https://doi.org/10.1111/j.1467-9965.1995.tb00103.x

Abstract

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.

Keywords

This publication has 11 references indexed in Scilit:

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Mathematical Finance, 1992
The Pricing of the American Option
The Annals of Applied Probability, 1992
Optimal Stopping and the American Put
Mathematical Finance, 1991
Variational inequalities and the pricing of American options
Acta Applicandae Mathematicae, 1990
The Analytic Valuation of American Options
The Review of Financial Studies, 1990
On the pricing of American options
Applied Mathematics & Optimization, 1988
The American Put Option Valued Analytically
The Journal of Finance, 1984
The American Put Option Valued Analytically
The Journal of Finance, 1984
Option Pricing: The American Put
The Journal of Business, 1977
The Pricing of Options and Corporate Liabilities
Journal of Political Economy, 1973