Refine by Content Type

Refine by Product

Refine by Time Frame

image thumbnail

updated 2 years ago

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

This computes an approximation of American Put option value and can plot it against asset's price (blackscholes, option valuation, derivatives)

[P,S,S_SS]=A_Put_Adesi_Whaley(S,E,r,sigma,T)

Contact us