The intersection between european put price and its payoff function

Zhang J.E.; Huang S.; Li T.

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The intersection between european put price and its payoff function

机译：欧洲看跌价格与其收益函数之间的交集

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In this paper, we study the intersection between the price of a European put and its payoff function. We derive asymptotic expansion formulas for the intersection near expiration date for three different cases of risk-free rate r and dividend yield q, i.e. r > q, r = q, and r < q. The comparison with those of the critical stock price of an American option enhances our understanding on the convergence of the asymptotic expansion near a singular point.

机译：在本文中，我们研究了欧洲看跌期权的价格与其收益函数之间的交集。对于三种不同的无风险利率r和股利收益率q，即r> q，r = q和r

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《International journal of theoretical and applied finance》 |2013年第4期|共14页
作者
Zhang J.E.; Huang S.; Li T.;
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正文语种 eng
中图分类财政、金融;
关键词
asymptotic expansion; Black-Scholes formula; European put; payoff function;

机译：渐近展开;Black-Scholes公式;欧式看跌期权;还清函数;

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The intersection between european put price and its payoff function

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