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Download - Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. 1.0
 

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. 1.0

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987.
This computes an approximation of American Put option value and can plot it against asset's priceEfficient Analytical Approximation of American Option Values G. BARONE-ADESI and R. E. WHALEY 1987.This code computes the Put option approximation derived in the above paper. A critical share price value S_SS is computed and is an output together with put value and the corresponding asset's price. The Put value for SS_SS...

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