THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION

Jin E. Zhang (), Shoujun Huang () and Tiecheng Li ()
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Jin E. Zhang: Department of Accountancy and Finance, Otago Business School, University of Otago, Dunedin 9054, New Zealand
Shoujun Huang: Department of Mathematics, Anhui Normal University, Wuhu 241000, Anhui, P. R. China
Tiecheng Li: Department of Mathematical Science, Tsinghua University, Beijing 100084, P. R. China

International Journal of Theoretical and Applied Finance (IJTAF), 2013, vol. 16, issue 04, 1-14

Abstract: In this paper, we study the intersection between the price of a European put and its payoff function. We derive asymptotic expansion formulas for the intersection near expiration date for three different cases of risk-free rate r and dividend yield q, i.e. r > q, r = q, and r

Keywords: European put; payoff function; Black–Scholes formula; asymptotic expansion (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:16:y:2013:i:04:n:s0219024913500222

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DOI: 10.1142/S0219024913500222

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