Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258251 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 9 [Article No.:] 167 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
This paper provides a quantitative assessment of equity options priced at the Zero Lower Bound, i.e., when interest rates are set essentially to zero. We obtain closed form formulas for American options when the Zero Lower Bound policy holds. We perform numerical implementation of American put options written on the stock Federal National Mortgage Association (FNMA) and of related bounds for the optimal exercise. The results show similarities with the corresponding European options priced at the Zero Lower Bound during the COVID-19 crisis.
Subjects: 
COVID-19
option pricing
Zero Lower Bound
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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