Associate Professor of Finance, University of Alberta and Duke University, respectively. This research was supported by the Futures and Options Research Center at The Fuqua School of Business, Duke University. Comments and suggestions by Fred D. Arditti, David Emanuel, Hans R. Stoll, Stuart M. Turnbull, Vera Zeidan, Luigi Zezza, and an associate editor of this Journal are gratefully acknowledged.
Efficient Analytic Approximation of American Option Values
Version of Record online: 30 APR 2012
© 1987 the American Finance Association
The Journal of Finance
Volume 42, Issue 2, pages 301–320, June 1987
How to Cite
BARONE-ADESI, G. and WHALEY, R. E. (1987), Efficient Analytic Approximation of American Option Values. The Journal of Finance, 42: 301–320. doi: 10.1111/j.1540-6261.1987.tb02569.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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