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 />
More recently, Zhu (2007) improved the accuracy <strong>in</strong> Zhu<br />
(2006a)’s orig<strong>in</strong>al approximation formula, by ch<strong>an</strong>g<strong>in</strong>g the<br />
explicit <strong>in</strong>tegral for S f (τ) <strong>in</strong>to <strong>an</strong> algebraic equation based on<br />
the proved conjecture Θ(S f (τ), τ) = 0 <strong>an</strong>d the approximat<strong>in</strong>g<br />
formula presented <strong>in</strong> Zhu (2006a).<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 23/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-22