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.
- American options
- Perpetual approximation
- Spectrally negative exponential Lévy process