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Efficient Analytic Approximation of American Option Values

Giovanni Barone-Adesi and Robert E. Whaley
The Journal of Finance
Vol. 42, No. 2 (Jun., 1987), pp. 301-320
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328254
Stable URL: http://www.jstor.org/stable/2328254
Page Count: 20
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Efficient Analytic Approximation of American Option Values
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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.

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