MACMILLAN BARONE ADESI and WHALEY MODEL

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Graphical Representation of Option Price and Sensitivities

Lionel MacMillan orginally suggested valuing options using a quadratic approximation approach in 1986. The approach was implemented by Giovanni Barone-Adesi and Robert Whaley in 1987.
This approach has been used to value American calls and puts on stocks, stock indices, currencies and future contracts. The mathematics of their derviation is quite complex. Interested readers can find it in the original paper, MacMillan Barone Adesi and Whaley (1987), and the books by Hull (1993).

Pricing Models Page Available is a Swing Java Jar File if you just wish to run the models.


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