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Valuing an American Put Option

Author

Listed:
  • 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
    as

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    File URL: https://mpra.ub.uni-muenchen.de/20082/2/MPRA_paper_20082.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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.
    2. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    3. 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.
    4. 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.
    5. 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.
    6. 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. Rossano Giandomenico, 2011. "Asset Liability Management for Banks," The IUP Journal of Bank Management, IUP Publications, vol. 0(4), pages 31-46, November.
    2. 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.

    More about this item

    Keywords

    Contingent Claim;

    JEL classification:

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

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