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

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.

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Authors:	Avram, Florin ; Chan, Terence ; Usabel, Miguel
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 100, 1-2, p. 75-107
Publisher:	Elsevier
Keywords:	American options Perpetual approximation Spectrally negative exponential Lévy process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875832