CRITICAL STOCK PRICE NEAR EXPIRATION

Guy Barles, Julien Burdeau, Marc Romano and Nicolas Samsoen

Mathematical Finance, 1995, vol. 5, issue 2, 77-95

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.

Date: 1995
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