The critical stock price for the American put option

被引：1

作者：

Chung, Y. Peter ^{[1
]}

Johnson, Herb ^{[2
]}

Polimenis, Vassilis ^{[3
]}

机构：

[1] Univ Calif Riverside, A Gary Anderson Grad Sch Management, Riverside, CA 92521 USA

[2] Johnson Consulting, La Jolla, CA 92037 USA

[3] Aristotle Univ Thessaloniki, Sch Law & Econ, Dept Econ, Business Div, Thessaloniki 54124, Greece

来源：

FINANCE RESEARCH LETTERS | 2011年 / 8卷 / 01期

关键词：

American put option; Critical stock price; The gamma of the put; VALUATION; MODEL;

D O I：

10.1016/j.frl.2010.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 present simple, analytical expressions for the critical stock price. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：8 / 14

页数：7

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