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Analytic American Option Pricing and Applications

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  • Sbuelz, A.

    (Tilburg University, Center For Economic Research)

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  • Sbuelz, A., 2003. "Analytic American Option Pricing and Applications," Discussion Paper 2003-64, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:aa03c4d7-febc-40b5-8563-9d34942f238e
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    References listed on IDEAS

    as
    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. David S. Bunch & Herb Johnson, 2000. "The American Put Option and Its Critical Stock Price," Journal of Finance, American Finance Association, vol. 55(5), pages 2333-2356, October.
    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.
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    Keywords

    option pricing; financial markets;

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