Refine by Content Type

Refine by Product

Refine by Time Frame

image thumbnail

updated almost 3 years ago

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

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