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

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Review of Various solution Approaches 100 95 90 Current Approximation Approximation of Zhu (2006a) Numerical Solution of Wu and Kwok (1997) Optimal Exercise Price ($) 85 80 75 70 65 60 0 2 4 6 8 10 12 Time To Expiration (Months) A comparison of the Critical Exercise Price IWIF-II www.swingtum.com/institute/IWIF PPT 24/68 Song-Ping Zhu, SMAS, April 26, 2007 0-23
Review of Various solution Approaches Zhu and Zhang (2006c) extended this approach to the cases where there is a continuous dividend payment to the underlying asset. 1 0.95 Analytical−Approximation Stephest Inversion N=6,8,10 0.9 0.85 0.8 0.75 0 0.005 0.01 0.015 0.02 0.025 0.03 0.035 0.04 0.045 IWIF-II www.swingtum.com/institute/IWIF PPT 25/68 The Critical Asset Prices by Stehfest Method with D 0 = 0 Song-Ping Zhu, SMAS, April 26, 2007 0-24
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 23: 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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