Mathematical Finance and Stochastics Seminar by Ruoting Gong: Near-Maturity Asymptotics of American Options Under Exponential Levy Models
Date and Time: 3/3/2026, 2-3pm
Location: PS 116
Speaker: , associate editor, Mathematical Reviews
Title: Near-Maturity Asymptotics of American Options Under Exponential Levy Models
Abstract: In this talk, we study the near-maturity asymptotic behavior of the optimal early-exercise price of an American put option under an exponential Levy model. Our model incorporates both a nonzero Brownian component and a jump component of possibly unbounded variation, which is not fully covered in the literature. As a byproduct, we also derive a second-order near-maturity expansion of the American put price around the critical price along a certain parabolic branch. This is a joint work with Jose E. Figueroa-Lopez.
Stochastic Analysis