On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

Florin Avram, Terence Chan and Miguel Usabel

Stochastic Processes and their Applications, vol. 100, issue 1-2, 75-107

Abstract: This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Lévy model, and uses it to implement of Carr's approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary and option value are obtained.

Keywords: American; options; Perpetual; approximation; Spectrally; negative; exponential; Lévy; process (search for similar items in EconPapers)
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Citations: View citations in EconPapers (13)

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