A generalization of the Barone-Adesi and Whaley approach for the analytic approximation of American options

[[abstract]]This article introduces a general quadratic approximation scheme for pricing American options based on stochastic volatility and double jump processes. This quadratic approximation scheme is a generalization of the Barone-Adesi and Whaley approach and nests several option models. Numerical results show that this quadratic approximation scheme is efficient and useful in pricing American options.[[fileno]]2070105010003[[department]]計量金融財務學