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

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This computes an approximation of American Put option value and can plot it against asset's price
Efficient 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.

Free download from Shareware Connection - This computes an approximation of American Put option value and can plot it against asset's price

Publisher: Haidar Haidar | License: Shareware
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 27-06-2013 | Rating: 0 | Title: Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987.

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/34855/1/A_Put_Adesi_Whaley.zip

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. keywords:
Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. related downloads:

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