On the valuation ofconstant barrier options under spectrally one-sided exponential Levy models and Carr’s approximation for American puts

摘要

This paper provides a general framework for pricing options with a constant barrier underspectrally one-sided exponential L&evy model, and uses it to implement ofCarr’s approximationfor the value of the American put under this model. Simple analytic approximations for theexercise boundary and option value are obtained. c 2002 Elsevier Science B.V. All rightsreserved