Minqiang Li, Li (2009): Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison.

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Abstract
Many e±cient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations for American options based on the quadratic approximation. We compare our methods with existing analytical methods including the quadratic approximations in BaroneAdesi and Whaley (1987) and BaroneAdesi and Elliott (1991), the lower bound approximation in Broadie and Detemple (1996), the tangent approximation in Bunch and Johnson (2000), the Laplace inversion method in Zhu (2006b), and the interpolation method in Li (2008). Both of our methods give much more accurate critical stock prices than all the existing methods above.
Item Type:  MPRA Paper 

Original Title:  Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison 
Language:  English 
Keywords:  American option; Analytical approximation; Critical stock price 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing 
Item ID:  15018 
Depositing User:  Minqiang Li 
Date Deposited:  15 Sep 2009 00:07 
Last Modified:  26 Sep 2019 09:21 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/15018 