Analytic American Option Pricing and Applications

Research, Preprint OPEN
Sbuelz, A. (2003)
  • Publisher: Finance
  • Subject: option pricing; financial markets | option pricing;financial markets
    • jel: jel:G12 | jel:G13

I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley ... View more
Share - Bookmark