Journal of Finance Vol. 42 No. 2 1987
Efficient 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. These approximations are accurate and considerably more computationally efficient than finite-difference, binomial, or compound-option pricing methods.
- DOI
- 10.2307/2328254
- Volume
- 42
- Issue
- 2
- Pages
- 301
- Sources
- openalex crossref