An Asymptotic Analysis of an American Call Option With Small Volatility
- Topics:
- Investment and Capital Markets
- Tags:
- Analysis,
- Diffusion,
- Finance,
- Financial Planning,
- Investment,
- Option,
- University Of Oxford,
- Volatility
- Source:
- University of Oxford
FREE Registration is required
Overview: This paper presents an asymptotic analysis of an American call option where the diffusion term (volatility) is small compared to the drift terms (interest rate and continuous dividend yield). The paper shows that in the limit where diffusion is negligible, relative to drift, then, at leading order, the American call's behavior is the same as a perpetual American call option (except in a boundary layer about the option's expiry date).
(Is this item miscategorized? Does it need more tags? Let us know.)
Format: PDF | Size: 144KB | Date: May 2004 | Pages: 6
People who downloaded this item also downloaded
 |
Optimal Choice Models for Executing Time to American Options |
 |
Evaluating The Effectiveness Of The Organization |
