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Efficient Analytic Approximation of American Option Values

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  • Barone-Adesi, Giovanni
  • Whaley, Robert E

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 approximation methods. Copyright 1987 by American Finance Association.

Suggested Citation

  • Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    • Handle: RePEc:bla:jfinan:v:42:y:1987:i:2:p:301-20
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