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Valuing an American Put Option

Author

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  • Giandomenico, Rossano

Abstract

The model presents the valuation of an American Put option by using a duplicating portfolio consisting of riskless security and stock sold short.

Suggested Citation

  • Giandomenico, Rossano, 2006. "Valuing an American Put Option," MPRA Paper 20082, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:20082
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    File URL: https://mpra.ub.uni-muenchen.de/20082/2/MPRA_paper_20082.pdf
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    References listed on IDEAS

    as
    1. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    2. Brennan, Michael J & Schwartz, Eduardo S, 1977. "The Valuation of American Put Options," Journal of Finance, American Finance Association, vol. 32(2), pages 449-462, May.
    3. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    4. Geske, Robert & Johnson, Herb E, 1984. "The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
    5. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    6. Kim, In Joon, 1990. "The Analytic Valuation of American Options," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 547-572.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Giandomenico, Rossano, 2006. "Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management," MPRA Paper 18844, University Library of Munich, Germany.
    2. Giandomenico, Rossano, 2006. "Asset Liability Management in Insurance Company," MPRA Paper 16333, University Library of Munich, Germany, revised Jan 2009.
    3. Rossano Giandomenico, 2011. "Asset Liability Management for Banks," The IUP Journal of Bank Management, IUP Publications, vol. 0(4), pages 31-46, November.

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    More about this item

    Keywords

    Contingent Claim;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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