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

版本 1.0.0.0 (9.8 KB) 作者: Haidar Haidar
This computes an approximation of American Put option value and can plot it against asset's price
0.0
(0)
500.0 次下载
更新时间 2012/1/31

查看许可证

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.

引用格式

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. 检索来源 .

MATLAB 版本兼容性
创建方式 R2007a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Price and Analyze Financial Instruments 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

版本 已发布 发行说明
1.0.0.0