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

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  • Avram, Florin
  • Chan, Terence
  • Usabel, Miguel
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 100 ()
    Issue (Month): 1-2 (July)
    Pages: 75-107

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    Handle: RePEc:eee:spapps:v:100:y::i:1-2:p:75-107

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    Related research

    Keywords: American options Perpetual approximation Spectrally negative exponential Lévy process;

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