Simple Analytical Approximations for the Critical Stock Price of American Options
32 Pages Posted: 3 Mar 2013
Date Written: February 2013
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