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Calculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model

[1] Barone-Aclesi, G. and Robert E. Whaley. “Efficient Analytic
Approximation of American Option Values.” *The Journal
of Finance.* Volume 42, Issue 2 (June 1987), 301–320.

[2] Haug, E. *The Complete Guide to Option Pricing Formulas.* *Second
Edition.* McGraw-Hill Education, January 2007.