1 Citation (Scopus)

Abstract

In a Black and Scholes (1973) world, this paper studies the pricing performance of a closed-form lower bound to American option values based on an exercise strategy corresponding to a flat-exercise boundary. The lower bound has a simple two-step implementation akin to Barone-Adesi and Whaley (1987) formula and shows superior pricing performance in the out-of-the-money region and for long maturities.
Original languageEnglish
Pages (from-to)399-413
Number of pages15
JournalEconomic Notes
Volume33
DOIs
Publication statusPublished - 2004

Keywords

  • American option pricing

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