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The Closed-Form Solution for Pricing American Put Options
Language
English
English
Book
Paperback
This book proposes a closed-form solution for pricing an American put option on a non-dividend payin...
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Libristo code: 15720506
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This book proposes a closed-form solution for pricing an American put option on a non-dividend paying stock based on an optimally early-exercise strategy. An American put option should be early exercised when the maximum option premium of early exercise is not less than the value of its European counterpart; otherwise, it should not be early exercised. This paper also shows that Merton (1973)'s formula for pricing a perpetual American put option on a non-dividend paying stock is not perfect and shows such an option's value is equal to its strike price.
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About the book
Full name
The Closed-Form Solution for Pricing American Put Options
Author
Xiaodong Wang
Language
English
English
Binding
Book - Paperback
Date of issue
2016
Number of pages
52
EAN
9783330013261
Libristo code
15720506
Publishers
LAP Lambert Academic Publishing
Weight
96
Dimensions
150 x 220 x 3
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