An approximate solution to the American put value is proposed and implemented numerically. Relaxation techniques enable the critical price to be determined with high accuracy. The method uses a modification of the quadratic approximation of MacMillan and Barone-Adesi and Whaley which gives an...

Do you enjoy chores such as mowing the lawn or, as it is called in Canada, shovelling the snow? Below we discuss a simpler method of trimming the hedge, suggested by Barone-Adesi, Engle and Mancini. Assuming the option price is homogeneous our calculation is model independent and provides delta...