Chen, Wenting; Zhu, Song-Ping - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-19
The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black …-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic … evaluated under the Black-Scholes model, while the leading-order term of the optimal exercise price remains almost the same as …