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 language | English |
---|
Place of Publication | Tilburg |
---|
Publisher | Finance |
---|
Number of pages | 13 |
---|
Volume | 2003-64 |
---|
Publication status | Published - 2003 |
---|
Name | CentER Discussion Paper |
---|
Volume | 2003-64 |
---|
- option pricing
- financial markets