The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Abstract
We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose the price of an American put option into its intrinsic value and time value, and to demonstrate the equivalence of our results to the McKean equation.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
Theory of rational option pricing
Merton, R. C. (2005) · Theory of Valuation · doi:10.1142/9789812701022_0008 · Cited by 7,161
Option pricing: A simplified approach
Cox, J. C., Ross, S. A., & Rubinstein, M. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90015-1 · Cited by 6,083
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,593
The valuation of options for alternative stochastic processes
Cox, J. C., & Ross, S. A. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90023-4 · Cited by 2,934
Martingales and stochastic integrals in the theory of continuous trading
Harrison, J. M., & Pliska, S. R. (1981) · Stochastic Processes and their Applications · doi:10.1016/0304-4149(81)90026-0 · Cited by 2,835
Analysis of Inventory Systems.
Veinott, A. F., Hadley, G. F., & Whitin, T. M. (1964) · Journal of the American Statistical Association · doi:10.2307/2282878 · Cited by 2,361
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Metadata
- Authors
- Carr, P., Jarrow, R., & Myneni, R.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 1992-04
- Volume
- 2
- Issue
- 2
- Pages
- 87-106
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2140460002
- Cited by
- 478
- References
- 24
- FWCI
- 15.88
- Type
- journal article
- Language
- en
- Open access
- closed
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- Carr, P., Jarrow, R., & Myneni, R. (1992). ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. Mathematical Finance. https://doi.org/10.1111/j.1467-9965.1992.tb00040.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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