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AN ANALYTICAL APPROXIMATION FOR THE ASSET-OR-NOTHING PUT OPTION

Joanna Goard

International Journal of Theoretical and Applied Finance2025https://doi.org/10.1142/s0219024925500098article
AJG 2ABDC B
Weight
0.50

What the paper says

British asset-or-nothing put options are financial derivatives with an early exercise feature through which on payoff, the holder receives the best prediction of the European asset-or-nothing put payoff under the hypothesis that the true drift of the stock price is equal to a contract drift. In this paper, we develop simple analytic approximations for the optimal exercise boundary and also the option valuation, valid for short times to expiry — which is a very common feature of most options that are traded in the market. The approximations are in the form of series solutions in which explicit formulae for the coefficients are provided. This then efficiently yields rapid results. Empirical results demonstrate that the approximations provide accurate results for expiries at least up to 3 months.

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https://doi.org/https://doi.org/10.1142/s0219024925500098

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@article{joanna2025,
  title        = {{AN ANALYTICAL APPROXIMATION FOR THE ASSET-OR-NOTHING PUT OPTION}},
  author       = {Joanna Goard},
  journal      = {International Journal of Theoretical and Applied Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1142/s0219024925500098},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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