Code covered by the BSD License
Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.
Be the first to rate this file! 0 Downloads (last 30 days) File Size: 9.8 KB File ID: #34855 Version: 1.0
Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987.
31 Jan 2012
This computes an approximation of American Put option value and can plot it against asset's price