Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069792 | Finance Research Letters | 2011 | 7 Pages |
Abstract
We derive a simple relationship between the critical stock price and the gamma of the American put. We use this relationship to derive the correct expression for the critical stock price as time to maturity goes to zero and an analytic approximation for the in-the-money American put price. We present simple, analytical expressions for the critical stock price.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Y. Peter Chung, Herb Johnson, Vassilis Polimenis,