на главную поиск contacts

The American Put Option Valued Analytically

Опубликовано на портале: 06-10-2004
Journal of Finance. 1984.  Vol. 39. No. 5. P. 1511-1524. 
Тематический раздел:
An analytic solution to the American put problem is derived herein. The hedge ratio and other derivatives of the solution are presented. The formula derived implies an exact duplicating portfolio for the American put consisting of discount bonds and stock sold short. The formula is extended to consider put options on stocks paying cash dividends. A polynomial expression is developed for evaluating these formulae. Values and hedge ratios for puts on both dividend and nondividend paying stocks are calculated, tabulated, and compared with values derived by numerical integration and binomial approximation. As with European options, evaluating an analytic formula is more efficient than approximating the stock price process or the partial differential equation by binomial or finite difference methods. Finally, applications of this American put solution are discussed.

Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)

текст статьи:
Ключевые слова

См. также:
Danny D. Dyer, Jerom P. Keating
Journal of the American Statistical Association. 1980.  Vol. 75. No. 370. P. 313-319. 
Neil Wallace
Federal Reserve Bank of Minneapolis Quarterly Review. 1988.  Vol. 12. No. 4.
Phelim P. Boyle, Mark Broadie, Paul Glasserman
Journal of Economic Dynamics and Control. 1997.  Vol. 21. No. 8-9. P. 1267-1321 . 
Robert Geske
Journal of Financial Economics. 1979.  Vol. 7. No. 1. P. 63-81. 
Sandor Csorgo, Julian Faraway
Journal of the Royal Statistical Society. Series B (Methodological). 1996.  Vol. 58. No. 1.
Michael J. Barclay, Clifford G. Holderness
Journal of Finance. 1991.  Vol. 46. No. 3. P. 861-878. 
Don M. Chance