Bjerksund, Petter; Stensland, Gunnar - In: Scandinavian Journal of Management 9 (1993) Supplement 1, pp. 87-87
This paper presents a closed-form approximation of the value of the finite-lived American option where the underlying asset provides a constant pay-out rate. It is derived by imposing a restriction on the set of feasible exercise strategies, and thus represents a lower bound to the option value....
