Valuing an American Put Option

Rossano Giandomenico

MPRA Paper from University Library of Munich, Germany

Abstract: The model presents the valuation of an American Put option by using a duplicating portfolio consisting of riskless security and stock sold short.

Keywords: Contingent; Claim (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2006-11-13
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20082

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