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 />
Analytical Approximations:<br />
Zhu (2006a) also derived a very eleg<strong>an</strong>t <strong>an</strong>alytical<br />
approximation formula for the optimal exercise price of<br />
<strong>Americ<strong>an</strong></strong> options, Us<strong>in</strong>g the Laplace tr<strong>an</strong>sform approach.<br />
S f (τ) =<br />
γ<br />
1 + γ + e−a2 τ<br />
∫ ∞<br />
e −τρ<br />
π 0 a 2 + ρ e−f 1(ρ) s<strong>in</strong> [f 2 (ρ)] dρ, (3)<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 20/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-19
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