We derive an expression for the critical stock price for the American put. We start by expressing the put price as an integral involving first-passage probabilities. This approach yields intuition for Merton's result for the perpetual put. We then consider the finite-lived case. Using (1) the...

Probabilistic choice models are used by economists, psychologists, and marketing scientists in the analysis of choice behavior involving discrete, or quantal choice alternatives. The most widely-used of these is the multinomial logit model, which is a special case of the Luce model. These models...