Critical Stock Price Near Expiration
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- Minqiang Li, 2010.
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- Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
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- Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011. "The critical stock price for the American put option," Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.
- Xinfu Chen & John Chadam & Lishang Jiang & Weian Zheng, 2008. "Convexity Of The Exercise Boundary Of The American Put Option On A Zero Dividend Asset," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 185-197.
- Damien Lamberton & Mohammed Mikou, 2013.
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- Damien Lamberton & Mohammed Mikou, 2011. "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers 1105.0284, arXiv.org.
- Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
- Song-Ping Zhu & Jing Zhang, 2012. "How should a convertible bond be decomposed?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 113-149, November.
- Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
- Mojtaba Hajipour & Alaeddin Malek, 2015. "Efficient High-Order Numerical Methods for Pricing of Options," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 31-47, January.
- Damien Lamberton, 2018. "On the binomial approximation of the American put," Papers 1802.05614, arXiv.org.
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