Open AccessAsymptotic Analysis of Shout Options Close to Expiry
Author(s) -
Ghada Alobaidi,
Roland Mallier
Publication year - 2014
Publication title -
isrn applied mathematics
Language(s) - English
Resource type - Journals
eISSN - 2090-5572
pISSN - 2090-5564
DOI - 10.1155/2014/920385
Subject(s) - limit (mathematics) , asymptotic expansion , boundary (topology) , series (stratigraphy) , asymptotic analysis , mathematical economics , mathematics , geology , mathematical analysis , paleontology
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.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom