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- W2230825680 abstract "We express the American put price as an integral involving first-passage probabilities. This approach allows us an intuitive interpretation to Merton's result for the perpetual put. We also consider the finite-lived case, derive a differential equation for the critical-stock-price function, and develop candidate analytical solutions that satisfy conditions which occur for short and long times to maturity. We present numerical results demonstrating that these solutions for the critical-stock-price functions and numerical integration of the first-passage probability expression to compute accurate prices for American put options." @default.
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- W2230825680 date "1998-02-01" @default.
- W2230825680 modified "2023-09-23" @default.
- W2230825680 title "The First-Passage Approach to Valuing the American Put Option" @default.
- W2230825680 hasPublicationYear "1998" @default.
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