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).
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