Critical price near maturity for an American option on a dividend-paying stock
成果类型：
Article
署名作者：
Lamberton, D; Villeneuve, S
署名单位：
Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite PSL; Ecole des Hautes Etudes en Sciences Sociales (EHESS); Universite de Toulouse; Universite Toulouse 1 Capitole; Centre National de la Recherche Scientifique (CNRS)
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2003
页码：
800-815
关键词：
摘要：
We study the behavior of the critical price of an American put option near maturity when the underlying stock pays dividends at a continuous rate. The results also apply to foreign currencies American options.