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

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Review of Various solution Approaches Analytical Approximations (cont.): Bunch and Johnson (2000): Algebraic Equation Method; Zhu (2006a): Laplace Transform based on the pseudo-steady-state approximation. IWIF-II www.swingtum.com/institute/IWIF PPT 16/68 Song-Ping Zhu, SMAS, April 26, 2007 0-15
A. Basso, M. Nardon and P. Pianca’s 2002 working paper IWIF-II www.swingtum.com/institute/IWIF PPT 17/68 Song-Ping Zhu, SMAS, April 26, 2007 0-16
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 15: Review of Various solution Approach
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
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Pricing American Options - an Important Fundamental Research in ...

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