An Alternative Formula to Price American Options
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References listed on IDEAS
- Bladt, Mogens & Rydberg, Tina Hviid, 1998. "An actuarial approach to option pricing under the physical measure and without market assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 65-73, May.
- Sergei Levendorskii, 2004. "The American put and European options near expiry, under Levy processes," Papers cond-mat/0404103, arXiv.org.
- Rocío Elizondo & Pablo Padilla, 2008. "An Analytical Approach to Merton’s Rational Option Pricing Theory," Working Papers 2008-03, Banco de México.
- Robert A. Jarrow, 1988. "Preferences, Continuity, and the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 1(2), pages 159-172.
- Francesc Llerena-Garrés, 2000. "Una nota sobre valoración de opciones americanas y arbitraje," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 207-218, January.
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"Alternative Characterizations Of American Put Options,"
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World Scientific Publishing Co. Pte. Ltd..
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More about this item
KeywordsAmerican options; Fokker-Planck; Black-Scholes; Samuelson; density probability function.;
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-05 (All new papers)
- NEP-CFN-2009-09-05 (Corporate Finance)
- NEP-RMG-2009-09-05 (Risk Management)
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