Analytic American Option Pricing and Applications

A. Sbuelz

Analytic American Option Pricing and Applications

A. Sbuelz

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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 language	English
Place of Publication	Tilburg
Publisher	Finance
Number of pages	13
Volume	2003-64
Publication status	Published - 2003

Publication series

Name	CentER Discussion Paper
Volume	2003-64

Keywords

option pricing
financial markets

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title = "Analytic American Option Pricing and Applications",

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.",

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author = "A. Sbuelz",

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year = "2003",

language = "English",

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series = "CentER Discussion Paper",

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T1 - Analytic American Option Pricing and Applications

AU - Sbuelz, A.

N1 - Pagination: 13

PY - 2003

Y1 - 2003

N2 - 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.

AB - 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.

KW - option pricing

KW - financial markets

M3 - Discussion paper

VL - 2003-64

T3 - CentER Discussion Paper

BT - Analytic American Option Pricing and Applications

PB - Finance

CY - Tilburg

ER -

Analytic American Option Pricing and Applications

Abstract

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Keywords

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