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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



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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.

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MATLAB 7.4 (R2007a)

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