Barone-Adesi and Whaley approximation
GPTKB entity
Statements (17)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
option pricing model
|
| gptkbp:advantage |
computational efficiency
|
| gptkbp:alternativeTo |
gptkb:binomial_model
|
| gptkbp:developedBy |
Giovanni Barone-Adesi
Robert E. Whaley |
| https://www.w3.org/2000/01/rdf-schema#label |
Barone-Adesi and Whaley approximation
|
| gptkbp:limitation |
approximation error
|
| gptkbp:method |
analytical approximation
|
| gptkbp:publicationYear |
1987
|
| gptkbp:publishedIn |
gptkb:Journal_of_Finance
|
| gptkbp:relatedTo |
gptkb:American_option
gptkb:Black-Scholes_model gptkb:European_option |
| gptkbp:solvedBy |
early exercise premium
|
| gptkbp:usedFor |
pricing American options
|
| gptkbp:bfsParent |
gptkb:American_option_pricing_models
|
| gptkbp:bfsLayer |
7
|