The critical stock price for the American put option

Y. Peter Chung, Herb Johnson and Vassilis Polimenis

Finance Research Letters, 2011, vol. 8, issue 1, 8-14

Abstract: We derive a simple relationship between the critical stock price and the gamma of the American put. We use this relationship to derive the correct expression for the critical stock price as time to maturity goes to zero and an analytic approximation for the in-the-money American put price. We present simple, analytical expressions for the critical stock price.

Keywords: American; put; option; Critical; stock; price; The; gamma; of; the; put (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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