On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

Florin Avram, Terence Chan, Miguel Usabel

Research output: Contribution to journalArticle

24 Citations (Scopus)

Abstract

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Lévy model, and uses it to implement of Carr's approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary and option value are obtained. © 2002 Elsevier Science B.V. All rights reserved.

Original languageEnglish
Pages (from-to)75-107
Number of pages33
JournalStochastic Processes and their Applications
Volume100
Issue number1-2
DOIs
Publication statusPublished - 2002

Keywords

  • American options
  • Perpetual approximation
  • Spectrally negative exponential Lévy process

Fingerprint Dive into the research topics of 'On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts'. Together they form a unique fingerprint.

Cite this