Efficient Analytic Approximation of American Option Values
This paper provides simple, analytic approximations for pricing exchange-traded American call and put options written on commodities and commodity futures contracts. These appro...
Publications
3 shownEfficient Analytic Approximation of American Option Values
ABSTRACT This paper provides simple, analytic approximations for pricing exchange‐traded American call and put options written on commodities and commodity futures contracts. Th...
Frequent Co-Authors
Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 1,969
- Institution
- Vanderbilt University
External Links
Identifiers
- ORCID
- 0000-0001-9456-7734
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.