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 SE.
If S is less than the free boundary in t the put option value is conventionally equal to ES.
 
BaroneAdesi, Whaley option price 
BaroneAdesi, 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

