American option prices and free boundaries
Insert volatility
s
(years
-1/2
) (0 <
s
< 1)
Insert risk free interest rate
r
(years
-1
)
(0 <
r
< 1)
Insert continuous dividend yield
d
(years
-1
) (0 ≤
d
≤ 2)
Insert strike price
E
(0 <
E
≤1000)
Insert asset price
S
(0 <
S
≤ 1000)
Insert time to maturity
t
(years)
(1 <
t
< 30)
Select American option type:
CALL
PUT
American option price and free boundary corresponding to the assigned values of S and
t
.
If S is greater than the free boundary in
t
the call option value is conventionally equal to S-E.
If S is less than the free boundary in
t
the put option value is conventionally equal to E-S.
Barone-Adesi, Whaley option price
Barone-Adesi, Whaley free boundary
First order approximation of the option price
First order approximation of the free boundary
Second order approximation of the option price
Second order approximation of the free boundary