Analytic American Option Pricing and Applications

A. Sbuelz

Research output: Working paperDiscussion paperOther research output

Abstract

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 (1987) analytic value proxy for short and medium maturities and exhibits good convergence to the Merton (1973) perpetual option price for large maturities.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages13
Volume2003-64
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper
Volume2003-64

Keywords

  • option pricing
  • financial markets

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