Efficient Analytic Approximation of American Option Values

Giovanni Barone-Adesi and Robert E Whaley

Journal of Finance, 1987, vol. 42, issue 2, 301-20

Abstract: This 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 approximation methods. Copyright 1987 by American Finance Association.

Date: 1987
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