Abstract
ABSTRACT This paper provides simple, analytic approximations for pricing exchange‐traded American call and put options written on commodities and commodity futures contracts. These approximations are accurate and considerably more computationally efficient than finite‐difference, binomial, or compound‐option pricing methods.
Keywords
Futures contractBinomial options pricing modelFinite difference methods for option pricingPut optionMathematical economicsSimple (philosophy)Approximations of πValuation of optionsBinomial (polynomial)CommodityEconomicsFinancial economicsMonte Carlo methods for option pricingEconometricsApplied mathematicsMathematicsActuarial scienceRational pricingFinanceCapital asset pricing modelStatistics
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Publication Info
- Year
- 1987
- Type
- article
- Volume
- 42
- Issue
- 2
- Pages
- 301-320
- Citations
- 1074
- Access
- Closed
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Cite This
Giovanni Barone‐Adesi,
Robert E. Whaley
(1987).
Efficient Analytic Approximation of American Option Values.
The Journal of Finance
, 42
(2)
, 301-320.
https://doi.org/10.1111/j.1540-6261.1987.tb02569.x
Identifiers
- DOI
- 10.1111/j.1540-6261.1987.tb02569.x