Normal American Options
Posted: January 23rd, 2006, 4:49 pm
Anyone seen an article on a Whaley type approximation for Normal/Arithmetic [i.e. not Lognormal/Geometric] American options? I've heard there may be one but have not found it or even anything on Normal/arithmetic American options. To partly answer my own question [though not the Whaley approx. type] Laprise Scott, Michael Fu, Steven Marcus, Andrew Lim, Huiju Zhang 'Pricing American-Style Derivatives with European Call Options' MS 1/06 <any Markov setting, not just geometric Brownian, upper/lower bounds, interpolation function>and Iwasawa Kazuhiro 'Analytic Formula for the European Normal Black Scholes Formula' 12/2001 [obviously not American in purpose] might be as close as I've seen.