Knock-in American Options

Min Dai, Yue Kuen Kwok

Research output: Journal article publicationJournal articleAcademic researchpeer-review

18 Citations (Scopus)


A knock-in American option under a trigger clause is an option contract in which the option holder receives an American option conditional on the underlying stock price breaching a certain trigger level (also called barrier level). We present analytic valuation formulas for knock-in American options under the Black-Scholes pricing framework. The price formulas possess different analytic representations, depending on the relation between the trigger stock price level and the critical stock price of the underlying American option. We also performed numerical valuation of several knock-in American options to illustrate the efficacy of the price formulas.

Original languageEnglish
Pages (from-to)179-192
Number of pages14
JournalJournal of Futures Markets
Issue number2
Publication statusPublished - Feb 2004
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics


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