TY - JOUR
T1 - Analytical American Option Pricing: The Flat-barrier Lower Bound
AU - Sbuelz, Alessandro
PY - 2004
Y1 - 2004
N2 - 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.
AB - 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.
KW - American option pricing
KW - American option pricing
UR - http://hdl.handle.net/10807/22316
UR - http://www.scopus.com/record/display.url?eid=2-s2.0-17944364912&origin=resultslist&sort=cp-t&src=s&imp=t&sid=z4uavjjp22-1kyc4j2u44o_%3a130&sot=inw&sdt=a&sl=39&s=au-id%28%22sbuelz%2c+alessandro%22+14025119600%29&relpos=2&relpos=2&searchterm=au-id%28\%22sbuelz,%20alessandro\%22%2014025119600%29
U2 - 10.1111/j.0391-5026.2004.00138.x
DO - 10.1111/j.0391-5026.2004.00138.x
M3 - Article
VL - 33
SP - 399
EP - 413
JO - Economic Notes
JF - Economic Notes
SN - 0391-5026
ER -