Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Review of Various solution Approaches<br />
Zhu <strong>an</strong>d Fr<strong>an</strong>cis (2004) found <strong>an</strong> improved algorithm to<br />
calculate the critical exercise price.<br />
Table 1. Convergence of the B<strong>in</strong>omial Method<br />
Method<br />
Optimal Exercise Price at Expiry<br />
B<strong>in</strong>omial n=10 78.93<br />
B<strong>in</strong>omial n=100 77.18<br />
B<strong>in</strong>omial n=1000 76.51<br />
Zhu (2006b) 76.11<br />
Wu <strong>an</strong>d Kwok (1997) n=100 76.25<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 11/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-10
Change language