Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy
This paper proposes an alternative characterization of the early exercise premium that is valid for any Markovian and diffusion underlying price process as well as for any parameterization of the exercise boundary. This new representation is shown to provide the best pricing alternative available in...
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| Published in | Journal of financial and quantitative analysis Vol. 44; no. 5; pp. 1231 - 1263 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
New York, USA
Cambridge University Press
01.10.2009
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| Subjects | |
| Online Access | Get full text |
| ISSN | 0022-1090 1756-6916 |
| DOI | 10.1017/S0022109009990329 |
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| Abstract | This paper proposes an alternative characterization of the early exercise premium that is valid for any Markovian and diffusion underlying price process as well as for any parameterization of the exercise boundary. This new representation is shown to provide the best pricing alternative available in the literature for medium- and long-term American option contracts, under the constant elasticity of variance model. Moreover, the proposed pricing methodology is also extended easily to the valuation of American options on defaultable equity and possesses appropriate asymptotic properties. |
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| AbstractList | This paper proposes an alternative characterization of the early exercise premium that is valid for any Markovian and diffusion underlying price process as well as for any parameterization of the exercise boundary. This new representation is shown to provide the best pricing alternative available in the literature for medium- and long-term American option contracts, under the constant elasticity of variance model. Moreover, the proposed pricing methodology is also extended easily to the valuation of American options on defaultable equity and possesses appropriate asymptotic properties. |
| Author | Nunes, João Pedro Vidal |
| Author_xml | – sequence: 1 givenname: João Pedro Vidal surname: Nunes fullname: Nunes, João Pedro Vidal email: joao.nunes@iscte.pt organization: 1ISCTE Business School, Complexo INDEG/ISCTE, Av. Prof. Aníbal Bettencourt, 1600-189 Lisboa, Portugal. joao.nunes@iscte.pt |
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| Cites_doi | 10.1287/mnsc.47.7.949.9804 10.1111/j.1468-5957.2007.02014.x 10.2307/2676280 10.1111/j.1467-9965.1992.tb00040.x 10.2307/3594989 10.2307/2330809 10.1007/BF01531333 10.1093/rfs/11.3.627 10.1007/BF00250676 10.1093/rfs/3.3.393 10.1093/rfs/11.3.597 10.1007/BF01448358 10.3905/jpm.1996.015 10.1093/rfs/3.4.547 10.2307/2330906 10.1007/978-1-4757-4296-1 10.1086/260062 10.1016/0304-405X(79)90015-1 10.1111/j.1540-6261.1995.tb04037.x 10.1046/j.1540-6261.2003.00607.x 10.2307/2326779 10.3905/jod.2003.319204 10.3905/jod.1999.319140 10.1111/j.1540-6261.1987.tb02569.x 10.1111/j.1540-6261.1984.tb04921.x 10.1007/BF00046576 10.2307/1427102 10.1007/BF01536395 10.1111/j.1540-6261.1989.tb02414.x 10.1287/mnsc.48.7.917.2815 10.1093/rfs/9.1.277 10.2307/3003143 10.1111/j.0391-5026.2004.00138.x 10.1007/s00780-006-0012-6 10.1111/0022-1082.00289 10.21314/JCF.1998.019 10.1093/rfs/13.1.75 10.1017/S0269964800003417 10.1093/rfs/9.4.1211 10.1016/j.jbankfin.2005.02.001 10.1093/rfs/13.1.1 10.1023/A:1022269617674 10.1111/j.1467-9965.2006.00271.x 10.2307/3212830 10.1111/j.1467-9965.1991.tb00007.x |
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| Copyright | Copyright © Michael G. Foster School of Business, University of Washington 2009 Copyright 2009 Michael G. Foster School of Business |
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| Notes | ArticleID:99032 ark:/67375/6GQ-H1HG1DD4-5 istex:7A7B9A91985D3BF932055D7B72536AA7FDF83C6D PII:S0022109009990329 An earlier version of this paper was presented at the 2006 Derivatives Securities and Risk Management Conference (Arlington, VA) and at the 2006 Bachelier Finance Society Fourth World Congress (Tokyo), under the title “A General Characterization of the Early Exercise Premium.” The author thanks Hendrik Bessembinder (the editor) and Ren-Raw Chen (the referee), whose suggestions have significantly improved this article, as well as the helpful programming codes and comments provided by Nico Temme. Of course, all the remaining errors are the author’s responsibility exclusively. ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 ObjectType-Article-2 ObjectType-Feature-1 content type line 23 |
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| SubjectTerms | American option American options Approximation Asset pricing Bankruptcy Brownian motion Differential equations Financial engineering Modeling Option pricing Polynomials Put options Quantitative analysis Stock prices Valuation Variance Yield |
| Title | Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy |
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