Efficient Analytic Approximation of American Option Values
给出针对大宗商品和商品期货的美式看涨/看跌期权的简单解析近似公式，比有限差分、二叉树等方法更准确且计算效率更高。
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.