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. Barone-Adesi, 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
Risk-free rate ( r ) 2.50%
Cost of carry ( b ) 0.00%
Volatility ( s ) 55.00%
Price: (Barone-Adesi, G. & Whaley 1987) 1.0996
Price: (Bjerksund, P. & Stensland, G. (1993)) 1.0913
Price: (Bjerksund, P. & Stensland, G. (2002)) 1.0909
|
|
