Premium
Efficient Analytic Approximation of American Option Values
Author(s) -
BARONEADESI GIOVANNI,
WHALEY ROBERT E.
Publication year - 1987
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1987.tb02569.x
Subject(s) - futures contract , binomial options pricing model , finite difference methods for option pricing , put option , mathematical economics , simple (philosophy) , approximations of π , valuation of options , binomial (polynomial) , commodity , economics , financial economics , monte carlo methods for option pricing , econometrics , mathematics , actuarial science , rational pricing , finance , capital asset pricing model , statistics , philosophy , epistemology
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 pricing methods.