Be the first to rate this file! 9 Downloads (last 30 days) File Size: 9.8 KB File ID: #34855 Version: 1.0
image thumbnail

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 price

| Watch this File

File Information

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 S<S_SS is E-S where when S>S_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.

Required Products MATLAB
MATLAB release MATLAB 7.4 (R2007a)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.

Contact us