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CRITICAL STOCK PRICE NEAR EXPIRATION |
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| Authors: | Guy Barles Julien Burdeau Marc Romano Nicolas Samsoen |
| Affiliation: | Laboratoire de Mathématiques et Applications, Facultédes Sciences et Techniques, Universitéde Tours, Tours, France;Déparement de Mathématiques et d'Informatique, Ecole Normale Supérieure, Paris, France, CEREMADE - Universitéde Paris IX Dauphine, Paris, France |
| 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 ( t )- K between the critical price at time t and the exercise price as t approaches the maturity of the option. |
| Keywords: | American put free boundary subsolution supersolution |