Efficient Analytic Approximation of American Option Values

Journal of Finance - Tập 42 Số 2 - Trang 301-320 - 1987
Giovanni Barone‐Adesi, Robert E. Whaley

Tóm tắt

ABSTRACTThis paper provides simple, analytic approximations for pricing exchange‐traded American call and put options written on commodities and commodity futures contracts. These approximations are accurate and considerably more computationally efficient than finite‐difference, binomial, or compound‐option pricing methods.

Từ khóa


Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Journal of Finance

Tập 42 Số 2

301-320

Thông tin tác giả