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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...

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