Valuing an American Put Option

Giandomenico, Rossano (2006): Valuing an American Put Option.

Abstract

The model presents the valuation of an American Put option by using a duplicating portfolio consisting of riskless security and stock sold short.

• Item Type: MPRA Paper
• Language: English
• Keywords: Contingent Claim
• Subjects: G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing

References

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