Article ID Journal Published Year Pages File Type
5069792 Finance Research Letters 2011 7 Pages PDF
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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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