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

doi:10.1016/S0304-4149(02)00104-7

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 journal › Article › peer-review

31 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 language	English
Pages (from-to)	75-107
Number of pages	33
Journal	Stochastic Processes and their Applications
Volume	100
Issue number	1-2
DOIs	https://doi.org/10.1016/S0304-4149(02)00104-7
Publication status	Published - 2002

Keywords

American options
Perpetual approximation
Spectrally negative exponential Lévy process

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10.1016/S0304-4149(02)00104-7

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title = "On the valuation of constant barrier options under spectrally one-sided exponential L{\'e}vy models and Carr's approximation for American puts",

abstract = "This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential L{\'e}vy 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. {\textcopyright} 2002 Elsevier Science B.V. All rights reserved.",

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author = "Florin Avram and Terence Chan and Miguel Usabel",

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T1 - On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

AU - Avram, Florin

AU - Chan, Terence

AU - Usabel, Miguel

PY - 2002

Y1 - 2002

N2 - 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.

AB - 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.

KW - American options

KW - Perpetual approximation

KW - Spectrally negative exponential Lévy process

U2 - 10.1016/S0304-4149(02)00104-7

DO - 10.1016/S0304-4149(02)00104-7

M3 - Article

SN - 0304-4149

VL - 100

SP - 75

EP - 107

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 1-2

ER -

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

Abstract

Keywords

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