Pricing American Options - an Important Fundamental Research in ...

More documents

Recommendations

Info

Review of Various solution Approaches Numerical Approaches: Risk Neutral Approaches Under the risk neutral argument, the current value of any financial derivative is equal to the expected return at the expiry discounted to the present time. IWIF-II www.swingtum.com/institute/IWIF PPT 10/68 Song-Ping Zhu, SMAS, April 26, 2007 0-9
Review of Various solution Approaches Zhu and Francis (2004) found an improved algorithm to calculate the critical exercise price. Table 1. Convergence of the Binomial Method Method Optimal Exercise Price at Expiry Binomial n=10 78.93 Binomial n=100 77.18 Binomial n=1000 76.51 Zhu (2006b) 76.11 Wu and Kwok (1997) n=100 76.25 IWIF-II www.swingtum.com/institute/IWIF PPT 11/68 Song-Ping Zhu, SMAS, April 26, 2007 0-10
Page 1 and 2: Faculty of Informatics, University
Page 3 and 4: Background What is an option? What
Page 5 and 6: Review of Various solution Approach
Page 7 and 8: A Figure in Zhu and Zhang (2007b) 1
Page 9: Review of Various solution Approach
Page 17 and 18: A. Basso, M. Nardon and P. Pianca
Page 19 and 20: 1 γ=5 0.9 0.8 0.7 B(τ) 0.6 0.5 0.
Page 27 and 28: An Exact Solution in Series Expansi
Page 51 and 52: The Solution for the Option Price
Page 55 and 56: Examples and Discussion Verificatio
Page 57 and 58: Examples and Discussion 100 95 90 A
Page 59 and 60: Examples and Discussion 100 90 80 7
Page 61 and 62:
Examples and Discussion 40 38 The n
Page 63 and 64:
Examples and Discussion 40 35 30 Op
Page 65 and 66:
Examples and Discussion Example 3:
Page 67 and 68:
Examples and Discussion 100 90 80 7
show all

Pricing American Options - an Important Fundamental Research in ...

Create successful ePaper yourself

Delete template?

Save as template?