The American Put Option Close to Expiry
R. Mallier and G. Alobaidi
Abstract.
We use an asymptotic expansion to study the behavior of the American put
option close to expiry for the case where the dividend yield is less
than or equal to the risk-free interest rate.
Series solutions are obtained for the location of the free boundary and
the price of the option in that limit.
Compressed Postscript 
