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Barone-Adesi-Whaley Model

Price, sensitivity, and implied volatility for American vanilla options using Barone-Adesi-Whaley model

The Barone-Adesi and Whaley model is an analytical approximation method used for pricing American-style vanilla options, which are options that can be exercised at any time before expiration. Compute prices and sensitivities for American options using the Barone-Adesi and Whaley option pricing model with the following functions:

Functions

optstockbybawCalculate American options prices using Barone-Adesi and Whaley option pricing model
optstocksensbybawCalculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
impvbybawCalculate implied volatility using Barone-Adesi and Whaley option pricing model

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