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Efficient Analytic Approximation of American Option Values

✍ Scribed by Giovanni Barone-Adesi and Robert E. Whaley

Book ID
121423996
Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
507 KB
Volume
42
Category
Article
ISSN
0022-1082

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## Abstract The authors suggest a modified quadratic approximation scheme, and apply this scheme to American barrier (knock‐out) and floating‐strike lookback options. This modified scheme introduces an additional parameter into the quadratic approximation method, originally suggested by G. Barone‐A