On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carrʹs approximation for American puts

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Lévy model, and uses it to implement of Carrʹs approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary and option value are obtained.