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- Title
An Analytic Approximation for the American Put Price.
- Authors
Johnson, H. E.
- Abstract
This article presents an analytic approximation for the American put price. The author notes that numerical solutions for the price of an American put have been developed; however, these are costly formulations that do not provide a great deal of intuition. The author believes an analytical approach is superior to a numerical one and attempts to solve some of the problems associated with the development of this method. The author presents an the equation and discusses the results. The findings indicate that the equation is accurate for all values of the risk-free rate observed in the U.S.
- Subjects
UNITED States; OPTIONS (Finance); PRICING; STOCK prices; APPROXIMATION theory; FINANCE
- Publication
Journal of Financial & Quantitative Analysis, 1983, Vol 18, Issue 1, p141
- ISSN
0022-1090
- Publication type
Article
- DOI
10.2307/2330809