Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
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Review of Various solution Approaches<br />
Integral Equation Approach<br />
Kim (1990) used the <strong>in</strong>tegral equation approach to show that<br />
there is <strong>an</strong> early-exercise premium associated with the<br />
<strong>Americ<strong>an</strong></strong> options;<br />
Jacka (1991) established the equivalence between <strong>an</strong> optimal<br />
stopp<strong>in</strong>g problem suggested by Karatzas (1988) <strong>an</strong>d the<br />
<strong>in</strong>tegral equation approach;<br />
Hu<strong>an</strong>g et al. (1996) presented a numerical solution to solve<br />
the <strong>in</strong>tegral equation;<br />
Ju (1998) proposed <strong>an</strong> approximate method to f<strong>in</strong>d the<br />
solution of the <strong>in</strong>tegral equation for the optimal exercise<br />
boundary;<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 12/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-11
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