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

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100 95 Analytical Solution Numerical Solution of Wu and Kwok (1997) Perpetual Optimal Exercise Price 90 Optimal Exercise Price ($) 85 80 75 70 65 Perpetual Optimal Exercise Price=$68.97 60 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Time To Expiration (Years) Optimal exercise prices for the case in Example 1 IWIF-II www.swingtum.com/institute/IWIF PPT 22/68 Song-Ping Zhu, SMAS, April 26, 2007 0-21
Review of Various solution Approaches More recently, Zhu (2007) improved the accuracy in Zhu (2006a)’s original approximation formula, by changing the explicit integral for S f (τ) into an algebraic equation based on the proved conjecture Θ(S f (τ), τ) = 0 and the approximating formula presented in Zhu (2006a). IWIF-II www.swingtum.com/institute/IWIF PPT 23/68 Song-Ping Zhu, SMAS, April 26, 2007 0-22
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 17 and 18: A. Basso, M. Nardon and P. Pianca
Page 19 and 20: 1 γ=5 0.9 0.8 0.7 B(τ) 0.6 0.5 0.
Page 21: Review of Various solution Approach
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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