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

Versión 1.0.0.0 (9,8 KB) por Haidar Haidar
This computes an approximation of American Put option value and can plot it against asset's price
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Efficient Analytical Approximation of American Option Values G. BARONE-ADESI and R. E. WHALEY 1987.

This code computes the Put option approximation derived in the above paper. A critical share price value S_SS is computed and is an output together with put value and the corresponding asset's price. The Put value for S<S_SS is E-S where when S>S_SS American_Put=European_Put+EE ( EE is Early Exercise premium). This model approximate the Early Exercise premium which follows the Black-Scholes partial differential equation.

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Haidar Haidar (2024). Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. (https://www.mathworks.com/matlabcentral/fileexchange/34855-analytical-approximation-of-american-put-option-derived-by-g-barone-adesi-and-r-e-whaley-1987), MATLAB Central File Exchange. Recuperado .

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1.0.0.0