Barone-Adesi-Whaley Model
Price, sensitivity, and implied volatility for American
vanilla options using Barone-Adesi-Whaley model
The Barone-Adesi and Whaley model is an analytical approximation method used for pricing American-style vanilla options, which are options that can be exercised at any time before expiration. Compute prices and sensitivities for American options using the Barone-Adesi and Whaley option pricing model with the following functions:
Functions
optstockbybaw | Calculate American options prices using Barone-Adesi and Whaley option pricing model |
optstocksensbybaw | Calculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model |
impvbybaw | Calculate implied volatility using Barone-Adesi and Whaley option pricing model |
Topics
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
