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R. Whaley (1986)
Valuation of American Futures Options: Theory and Empirical TestsJournal of Finance, 41
MacMillan MacMillan (1986)
“Analytic Approximation for the American Put Option.”Advances in Futures and Options Research, 1
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ABSTRACT This paper provides simple, analytic approximations for pricing exchange‐traded American call and put options written on commodities and commodity futures contracts. These approximations are accurate and considerably more computationally efficient than finite‐difference, binomial, or compound‐option pricing methods.
The Journal of Finance – Wiley
Published: Jun 1, 1987
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