Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
1<br />
γ=5<br />
0.9<br />
0.8<br />
0.7<br />
B(τ)<br />
0.6<br />
0.5<br />
0.4<br />
Carr’s solution<br />
BJ’s solution<br />
Zhu & He (2007)<br />
0.3<br />
0.2<br />
0.1<br />
0<br />
0 0.02 0.04 0.06 0.08 0.1<br />
τ<br />
The comparison of B(τ) from Carr’s solution, Bunch <strong>an</strong>d<br />
Johnson’s estimation <strong>an</strong>d Zhu <strong>an</strong>d He’s estimation when γ=5.<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 19/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-18
Change language