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

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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 American_Put=European_Put+EE ( EE is Early Exercise premium). This model approximate the Early Exercise premium which follows the Black-Scholes partial differential equation.

Requirements: No special requirements

Platforms: Matlab

Keyword: Computed, Early, Exercise, Model, Output, Premium, Share, Ss Ss

Users rating: 0/10

License: Shareware

Size: 10 KB

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ANALYTICAL APPROXIMATION OF AMERICAN PUT OPTION DERIVED BY G. BARONE-ADESI AND R. E. WHALEY 1987. RELATED

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