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Published 20 hours ago • verified publisher icon domokane

American vanilla options - Analytical approximations

Open domokane opened this issue 4 years ago • 4 comments

Add to the model library a set of the American option approximations within Black-Scholes using

  • Barone-Adesi and Whaley.
  • Bjerksund and Stensland (1993 and 2002)

domokane avatar Oct 01 '20 17:10 domokane

I will take a look at this. I think so Barone-Adesi and Whaley is already implemented. I will read the Bjerksund and Stensland 93 paper and see what's the best way to start implementing.

rkcah avatar Mar 12 '22 17:03 rkcah

OK. Given Barone-Adesi has been done you might want to try something else. Would this one be of interest ?

https://github.com/domokane/FinancePy/issues/117

domokane avatar Mar 12 '22 20:03 domokane

Dear Dominic, Thank you for such a nice project! It seems that Bjerksund and Stensland formula has not yet been implemented. So if nobody is trying, I will work on it.

shunmaruko avatar Feb 21 '23 07:02 shunmaruko

Ok. Please go for it. Best D

domokane avatar Feb 21 '23 19:02 domokane