Download This PaperSimple Analytical Approximations for the Critical Stock Price of American Options
32 Pages Posted: 3 Mar 2013
Date Written: February 2013
Abstract
Recent results for pricing American options based on Mellin transforms are used to derive several approximations for the critical stock price of a finite-living American option. We prove important theoretical properties of the derived approximations and compare our results to other approaches found in the literature.
Keywords: American option, Critical stock price, Analytical approximation
JEL Classification: G13
Suggested Citation: Suggested Citation
Frontczak, Robert, Simple Analytical Approximations for the Critical Stock Price of American Options (February 2013). Available at SSRN: https://ssrn.com/abstract=2227626 or http://dx.doi.org/10.2139/ssrn.2227626
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