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 modelSimple (philosophy)Mathematical economicsCommodityEconomicsBinomial (polynomial)Finite difference methods for option pricingPut optionFinancial economicsEconometricsApproximations of πApplied mathematicsMathematicsValuation of optionsActuarial scienceRational pricingFinanceCapital asset pricing modelStatistics
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Publication Info
- Year
- 1987
- Type
- article
- Volume
- 42
- Issue
- 2
- Pages
- 301-301
- Citations
- 380
- 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)
, 301-301.
https://doi.org/10.2307/2328254
Identifiers
- DOI
- 10.2307/2328254