Chung, Y. Peter; Johnson, Herb; Polimenis, Vassilis - In: Finance Research Letters 8 (2011) 1, pp. 8-14
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...
