Publication: On the valuation ofconstant barrier options under spectrally one-sided exponential L&evy models and Carr’s approximation for American puts
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2002-02
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Elsevier
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Abstract
This paper provides a general framework for pricing options with a constant barrier under
spectrally one-sided exponential L&evy model, and uses it to implement ofCarr’s approximation
for the value of the American put under this model. Simple analytic approximations for the
exercise boundary and option value are obtained. c 2002 Elsevier Science B.V. All rights
reserved
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Keywords
American options, Perpetual approximation, Spectrally negative exponential L&evy process
Bibliographic citation
Stochastic Processes and their Applications, 2002, n. 100, pp. 75-107