Analytic American Option Pricer

Posted by Gary Pai

American option

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Dividend yield (annulized)
Volatility (annulized)
Output:
Call option value
Put option value

The calculation is based on Barone-Adesi and Whaley.

Tagged: Barone-Adesi and Whaley Review, Barone-Adesi-Whaley(BAW) American Option

 •  Nov 26, 2025  • 

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