The American Put Option And Its Critical Stock Price  

Oleh:

Bunch, David S. ; Johnson, Herb

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 5 (2000), page 2333-2356.
Topik: stock price; studie; stock prices; put & call options; statistical analysis
Fulltext: p 2333.pdf (149.08KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We derive an expression for the critical stock price for the american put. We start by expressing the put price as an integral involving first - passage probabilities. This approach yields institution for merton's result for the perpetual put. We then consider the finite - lived case. Using : 1. the fact that the put value eases to depend on time when the critical stock price is reached and 2. the result that an american put equals a european put plus an early - exercise premium, we derive the critical stock price. We approximate the critical - stock - price function to compute accurate put prices.

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