nuclph
Member
Posts: 101
Joined: Jul 2006

Thu Nov 13, 08 02:04 PM


Dear all,
I have several ways in my disposal to get approximated price for American call/put options:
1. BaroneAdesi, G. & Whaley, R (1987) 2. Bjerksund, P. & Stensland, G. (1993) 3. Bjerksund, P. & Stensland, G.(2002)
Questions:
1. Which one is better to use? 2. To get Greeks, I assume I need to use just simple finite difference ?
For example,
Asset price ( S ) 3.50 Strike price ( X ) 3.00 Time to maturity ( T ) 1.5000 Riskfree rate ( r ) 2.50% Cost of carry ( b ) 0.00% Volatility ( s ) 55.00%
Price: (BaroneAdesi, G. & Whaley 1987) 1.0996 Price: (Bjerksund, P. & Stensland, G. (1993)) 1.0913 Price: (Bjerksund, P. & Stensland, G. (2002)) 1.0909

