The American Put Option and Its Critical Stock Price

By D. Bunch, H. Johnson. 2000

125 citations recorded by the source corpus.

Subfields: Finance

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CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET (2007, background): “The near expiry behavior and convexity of the optimal exercise boundary can then be interpolated with the long time behavior (the infinite horizon solution) to provide a global, in time, approximation for the exercise boundary; see, for example, Bunch and Johnson (2000), Chen and Chadam (2006).”
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (2007, background): “More recently, Bunch and Johnson (2000) have derived exact expressions for the critical stock price function and the American put price in the perpetual and finite cases.”
A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options (2006, methodology): “Bunch and Johnson (2000) believed that the results produced by Eq.”
An exact and explicit solution for the valuation of American put options (2006, methodology): “In their figure 1, Bunch and Johnson (2000) compared the results from two of their approximation formulae (equations (23) and (29) in their paper) and the numerical results of Cox et al.”