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 />
where<br />
[ (√<br />
f 1 (ρ) = 1<br />
a<br />
b 2 b ln<br />
2 + ρ<br />
+ ρ γ<br />
)<br />
[ (√<br />
f 2 (ρ) = 1 √ a 2 + ρ<br />
ρ ln<br />
b 2 + ρ<br />
γ<br />
+ √ √ ]<br />
ρ<br />
ρ t<strong>an</strong> −1 (<br />
a ) , (4)<br />
)<br />
√ ]<br />
ρ<br />
− b t<strong>an</strong> −1 (<br />
a ) . (5)<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 21/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-20