Allegretto, Walter; Barone-Adesi, Giovanni; Elliott, Robert - In: The European Journal of Finance 1 (1995) 1, pp. 69-78
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...