Simple Analytical Approximations for the Critical Stock Price of American Options

32 Pages Posted: 3 Mar 2013

See all articles by Robert Frontczak

Robert Frontczak

Landesbank Baden-W├╝rttemberg (LBBW)

Date Written: February 2013

Abstract

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

Frontczak, Robert, Simple Analytical Approximations for the Critical Stock Price of American Options (February 2013). Available at SSRN: https://ssrn.com/abstract=2227626 or http://dx.doi.org/10.2139/ssrn.2227626

Robert Frontczak (Contact Author)

Landesbank Baden-W├╝rttemberg (LBBW) ( email )

Kleiner SchloBplatz 11
D-70173 Stuttgart, 70174
Germany

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