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 />
Jamshidi<strong>an</strong> (1992) also used the <strong>in</strong>tegral equation approach to<br />
derive explicit formulas for <strong>Americ<strong>an</strong></strong> options on coupon bonds<br />
for the Vasicek (1977) model <strong>an</strong>d the CIR square root model<br />
(Cox et al. (1985));<br />
Zhu <strong>an</strong>d Zh<strong>an</strong>g (2007a) used the <strong>in</strong>tegral approach to solve<br />
the valuation problem of a convertible bond with <strong>Americ<strong>an</strong></strong><br />
style conversion.<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 13/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-12
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