Asymptotic Analysis of Shout Options Close to Expiry

We use an asymptotic expansion to study the behavior of shout options close to expiry. Series solutions are obtained for the location of the free boundary and the price of the option in that limit.

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Bibliographic Details
Published in:ISRN applied mathematics 2014-01, Vol.2014, p.1-8
Main Authors: Alobaidi, G., Mallier, R.
Format: Article
Language:English
Subjects:
Asymptotic expansions
Asymptotic properties
Financial institutions
Free boundaries
Investments
Laplace transforms
Mathematical analysis
Partial differential equations
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Description
Summary:We use an asymptotic expansion to study the behavior of shout options close to expiry. Series solutions are obtained for the location of the free boundary and the price of the option in that limit.
ISSN:2090-5572
2090-5564
2090-5572
DOI:10.1155/2014/920385