Critical price near maturity for an American option on a dividend-paying stock

Authors
Lamberton, Damien Villeneuve, Stéphane
Citation
Lamberton, Damien et Villeneuve, Stéphane, Critical price near maturity for an American option on a dividend-paying stock, Annals of applied probability , 13(2), 2003, pp. 800-815
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
13
Issue
2
Year of publication
2003
Pages
800 - 815
Database
ACNP
SICI code
Abstract
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.